Lecture Notes on Structural Vector Autoregressions
نویسنده
چکیده
• Macroeconomic background – Sims (1980) – Stock and Watson (1988) • Vector Autoregressions 1. Stationarity vs. nonstationarity 2. Structural models 3. Dynamic experiments 4. Estimation – Lütkepohl (1991), chapter 2 – Hamilton (1994), chapter 11 – Sims (1980) – Cooley and LeRoy (1985) – Runkle (1987) • Cointegration and Common Trends – Johansen and Juselius (1990) – King, Plosser, Stock, and Watson (1991) – Mellander, Vredin, and Warne (1992) – Englund, Vredin, and Warne (1994) – Jacobson, Vredin, and Warne (1996) These notes will not discuss estimation and inference in structural VAR’s; the reader is instead adviced to consult the sources listed above. Rather, the main purpose is to explain terminology and concepts by focusing on a few simple examples. Some familiarity with ARIMA models is assumed.
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