Books > Science & Mathematics > Mathematics > Probability & statistics
|
Buy Now
Model Reduction Methods for Vector Autoregressive Processes (Paperback, Softcover reprint of the original 1st ed. 2004)
Loot Price: R3,067
Discovery Miles 30 670
|
|
Model Reduction Methods for Vector Autoregressive Processes (Paperback, Softcover reprint of the original 1st ed. 2004)
Series: Lecture Notes in Economics and Mathematical Systems, 536
Expected to ship within 10 - 15 working days
|
1. 1 Objective of the Study Vector autoregressive (VAR) models have
become one of the dominant research tools in the analysis of
macroeconomic time series during the last two decades. The great
success of this modeling class started with Sims' (1980) critique
of the traditional simultaneous equation models (SEM). Sims
criticized the use of 'too many incredible restrictions' based on
'supposed a priori knowledge' in large scale macroeconometric
models which were popular at that time. Therefore, he advo cated
largely unrestricted reduced form multivariate time series models,
unrestricted VAR models in particular. Ever since his influential
paper these models have been employed extensively to characterize
the underlying dynamics in systems of time series. In particular,
tools to summarize the dynamic interaction between the system
variables, such as impulse response analysis or forecast error
variance decompo sitions, have been developed over the years. The
econometrics of VAR models and related quantities is now well
established and has found its way into various textbooks including
inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995),
Hendry (1995) and Greene (2002). The unrestricted VAR model
provides a general and very flexible framework that proved to be
useful to summarize the data characteristics of economic time
series. Unfortunately, the flexibility of these models causes
severe problems: In an unrestricted VAR model, each variable is
expressed as a linear function of lagged values of itself and all
other variables in the system."
General
Imprint: |
Springer-Verlag
|
Country of origin: |
Germany |
Series: |
Lecture Notes in Economics and Mathematical Systems, 536 |
Release date: |
2004 |
First published: |
2004 |
Authors: |
Ralf Bruggemann
|
Dimensions: |
235 x 155 x 12mm (L x W x T) |
Format: |
Paperback
|
Pages: |
218 |
Edition: |
Softcover reprint of the original 1st ed. 2004 |
ISBN-13: |
978-3-540-20643-9 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
LSN: |
3-540-20643-4 |
Barcode: |
9783540206439 |
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
|
You might also like..
|
Email address subscribed successfully.
A activation email has been sent to you.
Please click the link in that email to activate your subscription.