1. Introduction

2. Vector autoregressive models

3. Vector error correction models

4. Structural VAR tools

5. Bayesian VAR analysis

6. The relationship between VAR models and other macroeconometric models

7. A historical perspective on causal inference in macroeconometrics

8. Identification by short-run restrictions

9. Estimation subject to short-run restrictions

10. Identification by long-run restrictions

11. Estimation subject to long-run restrictions

12. Inference in models identified by short-run or long-run restrictions

13. Identification by sign restrictions

14. Identification by heteroskedasticity or non-gaussianity

15. Identification based on extraneous data

16. Structural VAR analysis in a data-rich environment

17. Nonfundamental shocks

18. Nonlinear structural VAR models

19. Practical issues related to trends, seasonality, and structural change

References

Index.