Ebook: Empirical Vector Autoregressive Modeling

1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, §6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.

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The main subject of this book is empirical application of multivariate linear time series model on quarterly or month- ly economic data to discoverand describe important dynamic relationships between the variables of interest. The book stresses "real-life" application and the selection of data analytic tools. Simple numerical examples and some more al- gebraicexercises are used to illustrate major points. Rele- vant old and recent results from over 400 authors and refe- rences from econometrics, mathematical statistics, time se- ries analysis, economics and descriptve statistics are dis- cussed. Appropriate use of multivariate time series models requires an intimate knowledge of relevant characteristics of thedata.One can obtain this using a method that combines influence analysis (which data points contain the major part of the information?) and diagnostic checking (does the model describe the interesting part of the information well enough?). For economic time series these issuses are (the type of) nonstationarity of the trend and seasonal compo- nent, be it of the (fractional) "unit root" type or of the changing parameter type (structural breaks), both in a unva- riate and a multivariate context. The book introduces new graphical and statistical methodes to improve the understan- ding of seasonality, outliers, structural breaks, pushing trends and pulling equilibria in aparticular data set.

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The main subject of this book is empirical application of multivariate linear time series model on quarterly or month- ly economic data to discoverand describe important dynamic relationships between the variables of interest. The book stresses "real-life" application and the selection of data analytic tools. Simple numerical examples and some more al- gebraicexercises are used to illustrate major points. Rele- vant old and recent results from over 400 authors and refe- rences from econometrics, mathematical statistics, time se- ries analysis, economics and descriptve statistics are dis- cussed. Appropriate use of multivariate time series models requires an intimate knowledge of relevant characteristics of thedata.One can obtain this using a method that combines influence analysis (which data points contain the major part of the information?) and diagnostic checking (does the model describe the interesting part of the information well enough?). For economic time series these issuses are (the type of) nonstationarity of the trend and seasonal compo- nent, be it of the (fractional) "unit root" type or of the changing parameter type (structural breaks), both in a unva- riate and a multivariate context. The book introduces new graphical and statistical methodes to improve the understan- ding of seasonality, outliers, structural breaks, pushing trends and pulling equilibria in aparticular data set.
Content:
Front Matter....Pages I-XIII
Introduction....Pages 1-10
The Unrestricted VAR and Its Components....Pages 11-58
Data Analysis by Vector Autoregression....Pages 59-108
Seasonality....Pages 109-138
Outliers....Pages 139-203
Restrictions on the VAR....Pages 204-247
Applied VAR Analysis for Aggregate Investment....Pages 248-328
Summary....Pages 329-332
Back Matter....Pages 333-386

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The main subject of this book is empirical application of multivariate linear time series model on quarterly or month- ly economic data to discoverand describe important dynamic relationships between the variables of interest. The book stresses "real-life" application and the selection of data analytic tools. Simple numerical examples and some more al- gebraicexercises are used to illustrate major points. Rele- vant old and recent results from over 400 authors and refe- rences from econometrics, mathematical statistics, time se- ries analysis, economics and descriptve statistics are dis- cussed. Appropriate use of multivariate time series models requires an intimate knowledge of relevant characteristics of thedata.One can obtain this using a method that combines influence analysis (which data points contain the major part of the information?) and diagnostic checking (does the model describe the interesting part of the information well enough?). For economic time series these issuses are (the type of) nonstationarity of the trend and seasonal compo- nent, be it of the (fractional) "unit root" type or of the changing parameter type (structural breaks), both in a unva- riate and a multivariate context. The book introduces new graphical and statistical methodes to improve the understan- ding of seasonality, outliers, structural breaks, pushing trends and pulling equilibria in aparticular data set.
Content:
Front Matter....Pages I-XIII
Introduction....Pages 1-10
The Unrestricted VAR and Its Components....Pages 11-58
Data Analysis by Vector Autoregression....Pages 59-108
Seasonality....Pages 109-138
Outliers....Pages 139-203
Restrictions on the VAR....Pages 204-247
Applied VAR Analysis for Aggregate Investment....Pages 248-328
Summary....Pages 329-332
Back Matter....Pages 333-386
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