From VAR models to Structural VAR models

  • Gianni Amisano
  • Carlo Giannini


In this chapter we introduce the philosophy, the basic concepts and definitions of VAR analysis (sections 1.1 and 1.2). After that, in section 1.3 we discuss the problems of VAR estimation and in section 1.4 we describe the possible uses of VAR models. Then in section 1.5 we start dealing with Structural VAR analysis, pointing out the main features of the different classes of Structural VAR models, their likelihood functions (section 1.6) and their differences with respect to the standard simultaneous equations models (section 1.7). We conclude this chapter by providing examples of Structural VARs taken from the applied econometric literature (section 1.8).


Granger Causality Prior Variance Exact Identification Simultaneous Equation System Instantaneous Correlation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin · Heidelberg 1997

Authors and Affiliations

  • Gianni Amisano
    • 1
  • Carlo Giannini
    • 2
  1. 1.Dipartimento di Scienze EconomicheUniversità di BresciaBresciaItaly
  2. 2.Dipartimento di Economia Politica e Metodi QuantitativiUniversità di PaviaPaviaItaly

Personalised recommendations