# Can anybody suggest me some books on SVAR Modelling?

Can anybody suggest some introductory books on Structural VAR (Vector Auto Regressive) Modelling?

Can anybody suggest some introductory books on Structural VAR (Vector Auto Regressive) Modelling?

## All Answers (2)

Pavan Jindam· Reserve Bank of IndiaLazaros Moysis· Aristotle University of ThessalonikiGreetings. I am not sure if this of any help to you, but I have a couple of conference papers on modeling Auto Regressive systems of differential and algebraic equations. That is, given a number of time series, construct an AR model with the exact time series as solutions. I hope you will find these helpful.

## Conference Paper: On the Modeling of Discrete Time Auto-Regressive Representations

ABSTRACT:It is well known [2], [6], that given the discrete-time AutoRegressive representation A(σ)β(k) = 0; where σ denotes the shift forward operator and A(σ) a polynomial matrix, we can always construct the forward-backward behavior of this system, by using the finite and infinite elementary divisor structure of A(σ). The main theme of this work is to study the inverse problem: given a specific forward-backward behavior, find a family of polynomial matrices A(σ), such that the system A(σ)β(k) = 0 has exactly the prescribed behavior. As we shall see, the problem can be reduced either to a linear system equation problem or to an interpolation problem.## Conference Paper: Modeling of Discrete Time Auto-Regressive Systems with given Forward and Backward Behavior

ABSTRACT:We study the behavior of discrete time AR-representations. A theorem is provided connecting the backward behavior of a system, due to its infinite elementary divisors, with the forward behavior of its dual system. We first use this result to construct a system satisfying a certain backward behavior. In addition to this, we propose a way to combine this result with previous ones to create an algorithm for computing a system satisfying a given forward and backward behavior.Can you help by adding an answer?