Econometric Analysis with Vector Autoregressive Models

Vector autoregressive (VAR) models for stationary and integrated variables are reviewed. Model specification and parameter estimation are discussed and various uses of these models for forecasting and economic analysis are considered. For integrated and cointegrated variables it is argued that vector error correction models offer a particularly convenient parameterization both for model specification and for using the models for economic analysis.

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Year of publication:	2007
Authors:	Luetkepohl, Helmut
Institutions:	Department of Economics, European University Institute
Subject:	VAR \| vector autoregressive models

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series European University Institute Working Papers Number ECO2007/11
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005816426