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Structural Vector Autoregressive Analysis, Lutz Kilian



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Цена: 5866р.
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Склад Англия: 234 шт.  Склад Америка: 64 шт.  
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Автор: Lutz Kilian
Название:  Structural Vector Autoregressive Analysis   (Килиан: Структурное направление авторегрессивного анализа)
Издательство: Cambridge Academ
Классификация:
ЭКОНОМИКА
Макроэкономика
Эконометрика

ISBN: 1316647331
ISBN-13(EAN): 9781316647332
ISBN: 1-316-64733-1
ISBN-13(EAN): 978-1-316-64733-2
Обложка/Формат: Paperback
Страницы: 754
Вес: 1.084 кг.
Дата издания: 23.11.2017
Серия: Themes in modern econometrics
Язык: English
Иллюстрации: Worked examples or exercises; 00 printed music items; 00 tables, unspecified; 00 tables, color; 00 tables, black and white; 00 plates, unspecified; 00 plates, color; 00 plates, black and white; 00 halftones, unspecified; 40 line drawings, black and w
Размер: 228 x 153 x 41
Читательская аудитория: Tertiary education (us: college)
Ключевые слова: Economics,Macroeconomics,Econometrics,Economic statistics, BUSINESS & ECONOMICS / Econometrics
Основная тема: Economics, business studies
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Англии
Описание: 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 readers understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.



Structural Vector Autoregressive Analysis

Автор: Kilian
Название: Structural Vector Autoregressive Analysis
ISBN: 1107196574 ISBN-13(EAN): 9781107196575
Издательство: Cambridge Academ
Рейтинг:
Цена: 15070 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: 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.

Likelihood-based Inference on Cointegrated Vector Autoregressive Models

Автор: Johansen, Soren (Professor, Institute of Mathemati
Название: Likelihood-based Inference on Cointegrated Vector Autoregressive Models
ISBN: 0198774508 ISBN-13(EAN): 9780198774501
Издательство: Oxford Academ
Рейтинг:
Цена: 8166 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Professor Johansen gives a detailed mathematical and statistical analysis of the co-integrated vector autoregressive model in a self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. Many exercises are provided.

Model Reduction Methods for Vector Autoregressive Processes

Автор: BrГјggemann Ralf
Название: Model Reduction Methods for Vector Autoregressive Processes
ISBN: 3540206434 ISBN-13(EAN): 9783540206439
Издательство: Springer
Рейтинг:
Цена: 12539 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: 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 models, 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.


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