Monday, January 29, 2018

Structural VAR Analysis

Kilian and Lutkepohl's Structural Vector Autoregressive Analysis is now out. The back-cover blurbs below are not hyperbole. Indeed Harald Uhlig's is an understatement in certain respects -- to his list of important modern topics covered I would certainly add the "external instrument" approach. For more on that, beyond K&L, which went to press some time ago, see Stock and Watson's masterful 2018 external-instrument survey and extension, just now released as an NBER working paper. (Ungated K&L draft here; ungated S&W draft here.)