On Vector Autoregressions

Francis J. Bismans () and Olivier Damette ()
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Francis J. Bismans: University of Lorraine
Olivier Damette: University of Lorraine

Chapter Chapter 7 in Dynamic Econometrics, 2025, pp 197-227 from Springer

Abstract: Abstract Chapter 7 looks in detail at dynamic systems of the VAR (vector autoregression) type, from their formalisation to their estimation. It also discusses VAR models in their structural form and impulse response functions, in particular on the basis of local projections.

Keywords: VAR in reduced form; Structural VAR; Model specification; Granger causality; Bidirectional causality; Structural VAR models; Shocks identification; Impulse response; Linear local projections (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-72910-2_7

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DOI: 10.1007/978-3-031-72910-2_7

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