03926nam a2200409Ia 4500001001300000003000800013005001700021006001900038007001500057008004100072020007300113040001200186050002300198072001600221072001500237072002300252080000800275082001200283245019300295260003700488300003600525490005000561505128300611520127201894650004903166650002603215650002303241650004103264700002503305700002103330700001803351700002803369776001803397830003903415856004703454999001503501bslw09183206UtOrBLW20161010130651.0m     o  d        cr un|||||||||140116s2013    enk     o     010 0 eng d  a9781781907535 (electronic bk.) :c£82.95 ; <U+0080>121.95 ; $154.95  aUtOrBLW 4aHB172.5b.V37 2013 7aKCH2bicssc 7aKC2bicssc 7aBUS0210002bisacsh  a33004a33922300aVAR models in macroeconomicsh[electronic resource] :bnew developments and applications : essays in honor of Christopher A. Sims /cedited by Thomas B. Fomby, Lutz Kilian, Anthony Murphy.  aBingley, U.K. :bEmerald,c2013.  a1 online resource (xxi, 427 p.)1 aAdvances in econometrics,x0731-9053 ;vv. 320 aThe relationship between DSGE and VAR models / Raffaella Giacomini -- Do DSGE models forecast more accurately out-of-sample than VAR models? / Refet S. Gürkaynak, Burçin Kisacikoglu, Barbara Rossi -- Unit roots, cointegration, and pretesting in Var models / Nikolay Gospodinov, Ana María Herrera, Elena Pesavento -- Evaluating the accuracy of forecasts from vector autoregressions / Todd E. Clark, Michael W. McCracken -- Identifying structural vector autoregressions via changes in volatility / Helmut Lütkepohl -- Panel vector autoregressive models : a survey / Fabio Canova, Matteo Ciccarelli -- Mixed-frequency vector autoregressive models / Claudia Foroni, Eric Ghysels, Massimiliano Marcellino -- Thresholds and smooth transitions in vector autoregressive models / Kirstin Hubrich, Timo Teräsvirta -- Nonparametric vector autoregressions : specification, estimation, and inference / Ivan Jeliazkov -- Testing for common cycles in non-stationary VARs with varied frequency data / Thomas B. Götz, Alain Hecq, Jean-Pierre Urbain -- Multivariate dynamic probit models : an application to financial crises mutation / Bertrand Candelon ... [et al.] -- Multivariate dynamic probit models : an application to financial crises mutation / Bertrand Candelon ... [et al.].  aVector autoregressive (VAR) models are among the most widely used econometric tools in the fields of macroeconomics and financial economics. Much of what we know about the response of the economy to macroeconomic shocks and about how various shocks have contributed to the evolution of macroeconomic and financial aggregates is based on VAR models. VAR models also have been used successfully for economic and business forecasting, for modeling risk and volatility, and for the construction of forecast scenarios. Since the introduction of VAR models by C.A. Sims in 1980, the VAR methodology has continuously evolved. Even today important extensions and reinterpretations of the VAR framework are being developed.  Examples include VAR models for mixed-frequency data, VAR models as approximations to DSGE models, factor-augmented VAR models, new tools for the identification of structural shocks in VAR models, panel VAR approaches, and time-varying parameter VAR models.  This volume collects contributions from some of the leading VAR experts in the world on VAR methods and applications. Each paper highlights and synthesizes a new development in this literature in a way that is accessible to practitioners, to graduate students, and to readers in other fields. 7aBusiness & EconomicsxEconometrics.2bisacsh 7aEconometrics.2bicssc 7aEconomics.2bicssc 0aMacroeconomicsxMathematical models.1 aSims, Christopher A.1 aFomby, Thomas B.1 aKilian, Lutz.1 aMurphy, Anthony,d1957-1 z9781781907528 0aAdvances in econometrics ;vv. 32.40uhttp://www.emeraldinsight.com/0731-9053/32  c1033d1033