Model reduction methods for vector autoregressive processes

＜図書＞
Model reduction methods for vector autoregressive processes

責任表示	Ralf Brüggemann
シリーズ	Lecture notes in economics and mathematical systems ; 536
データ種別	図書
出版情報	Berlin ; New York ; Tokyo : Springer , c2004
本文言語	英語
大きさ	x, 218 p. : ill. ; 24 cm
概要	Vector Autoregressive (VAR) models have become one of the dominant tools for the empirical analysis of macroeconomic time series. Sometimes the flexibility of VAR models leads to overparameterized mo...els, making accurate estimates of impulse responses and forecasts difficult. This book introduces a variety of data-based model reduction methods and provides a detailed investigation of different reduction strategies in the context of popular VAR modelling classes, including stationary, cointegrated and structural VAR models. VAR practitioners benefit from guidelines being developed for using model reduction in applied work. The use of different reduction techniques is illustrated by means of empirical models for US monetary policy shocks and a structural vector error correction model of the German labor market. 続きを見る
電子版へのリンク	https://hdl.handle.net/2324/6872026

状態	巻次	所蔵場所	請求記号	刷年	文庫名称	資料番号	コメント	予約・取寄	複写申込	自動書庫
		理系図3F 数理独自	SER/LNEMS/536	2004		023212004000840		予約・取寄			予約・取寄

一般注記	Based on the author's thesis (Humboldt-Universität zu Berlin) Bibliography: p. [205]-212 Includes index
著者標目	*Brüggemann, Ralf, 1972-
件　名	LCSH:Econometric models LCSH:Autoregression (Statistics)
分　類	LCC:HB141 DC22:330/.01/519536
書誌ID	1001385184
ISBN	3540206434
NCID	BA65675232
巻冊次	ISBN:3540206434
登録日	2009.11.02
更新日	2017.02.18