Structural vector autoregressive (VAR) models are important tools
for empirical work in macroeconomics, finance, and related fields.
This book not only reviews the many alternative structural VAR
approaches discussed in the literature, but also highlights their
pros and cons in practice. It provides guidance to empirical
researchers as to the most appropriate modeling choices, methods of
estimating, and evaluating structural VAR models. The book traces
the evolution of the structural VAR methodology and contrasts it
with other common methodologies, including dynamic stochastic
general equilibrium (DSGE) models. It is intended as a bridge
between the often quite technical econometric literature on
structural VAR modeling and the needs of empirical researchers. The
focus is not on providing the most rigorous theoretical arguments,
but on enhancing the reader's understanding of the methods in
question and their assumptions. Empirical examples are provided for
illustration.
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