Advances in Econometrics, Volume 32: Vector Autoregressive Modeling -- New Developments and Applications: Essays in Honor of Christopher A. Sims

Editors: Thomas B. Fomby (SMU), Lutz Killian (U Michigan), Anthony Murphy (Federal Reserve Bank of Dallas)

DOI 10.1108/S0731-9053(2013)32
Publication date 2013-12-13
Series copyright holder: Emerald Publishing Limited
Book series ISSN 0731-9053

Introduction, Thomas B. Fomby, Lutz Kilian and Anthony Murphy
VAR Models in Macroeconomics, New Developments and Applications: Essays in Honor of Christopher A. Sims
The Relationship Between DSGE and VAR Models, Raffaella Giacomini.
Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models? Refet S. Gürkaynak, Burçin Kısacıkoğlu, and Barbara Rossi.
Unit Roots, Cointegration, and Pretesting in VAR Models, Nikolay Gospodinov, Ana María Herrera, and Elena Pesavento.
Evaluating the Accuracy of Forecasts from Vector Autoregressions, Todd E. Clark and Michael W. McCracken.
Identifying Structural Vector Autoregressions Via Changes in Volatility, Helmut Lütkepohl.
Panel Vector Autoregressive Models: A Survey, Fabio Canova and Matteo Ciccarelli.
Mixed-Frequency Vector Autoregressive Models, Claudia Foroni, Eric Gheysels, and Massimiliano Marcellino.
Thresholds and Smooth Transitions in Vector Autoregressive Models, Kirstin Hubrich and 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, and Jean-Pierre Urbain.
Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation, Bertrand Candelon, Elena-Ivona Dumitrescu, Christopher Hurlin, and Franz C. Palm.