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
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Cointegration \| forecasting \| dynamic econometric models \| impulse responses

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Series:	SFB 373 Discussion Paper ; 1999,31
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	722260571 [GVK] hdl:10419/61728 [Handle] RePEc:zbw:sfb373:199931 [RePEc]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310005