Vector autoregressive analysis

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other restrictions are discussed. Possibilities for model validation are also considered, Causality tests, impulse responses and forecast error variance decompositions are presented as tools for analyzing VAR models.

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Year of publication:	1999
Authors:	Lütkepohl, Helmut
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	Cointegration \| forecasting \| dynamic econometric models \| impulse responses

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1999,31
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983603