Structural Vector Autoregressive Modeling and Impulse Responses

By J. Breitung, R. Brüggemann, Helmut Lütkepohl. 2004

218 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9a6d2a92c5ef3a9db40bcb2d382cc8f20299f3d6

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In Economics and Econometrics

Citations in the corpus

The Impact of Fiscal Policy on Economic Activity Over the Business Cycle - Evidence from a Threshold VAR Analysis (2011, methodology): “Further applications of the AB model can be found in Pagan (1995), Breitung and Lütkepohl (2004) and Blanchard and Perotti (2002).”
Vector Autoregressive Models (2011, unknown): “…them with their OLS estimators, using Σu = BB ′ and estimating B by maximizing the concentrated Gaussian log-likelihood l(B) = constant− T 2 log det(B)2 − T 2 tr(B′−1B−1Σ̂u), (3.5) where Σ̂u = T −1 ∑T t=1 ûtû ′ t is the estimator of Σu based on the OLS residuals (cf. Breitung et al. (2004)).”
Infrastructure and Poverty Reduction: Implications for Urban Development in Nigeria (2010, unknown): “…literature, the model for this study is represented by a four-component vector (yt) of endogenous variables defined as '),,,( ttttt grogovrpsfpovy = (2) 1 For a fuller exposition of SVAR one can consult Sims (1980a, 1980b), Amisano and Giannini (1997) and Breitung, Bruggemann, and Lutkepohl (2004).”
Structural vector autoregressive analysis for cointegrated variables (2006, unknown): “Further examples may be found in Breitung et al. (2004) and more discussion of partitioning the shocks in permanent and transitory ones is given in Gonzalo & Ng (2001) and Fisher & Huh (1999) among others.”
VAR, SVAR and SVEC Models: Implementation Within R Package vars (2008, methodology): “Please note, that the reported critical values differ slightly from the ones that are reported in Breitung et al. (2004). The authors utilized the software JMulTi (Lütkepohl and Krätzig 2004) in which the critical values of Davidson and MacKinnon (1993) are used, whereas in the function ur.”