Vector Autoregressions I: Basics

John D. Levendis
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John D. Levendis: Loyola University New Orleans

Chapter Chapter 10 in Time Series Econometrics, 2023, pp 263-310 from Springer

Abstract: Abstract If we take the notion of general equilibrium seriously, then everything in the economy is related to everything else. For this reason, it is often impossible to say which variables are exogenous. Vector autoregressions or “VARs” attempt to model the many interdependencies between economic variables. The VAR generalizes earlier univariate autoregressive (AR) models by allowing a large number of variables depend on lagged values of their own and of other variables. Earlier concepts of stability, lag selection, and impulse response functions are also extended, and Granger causality is introduced. We also replicate an influential paper by Christopher Sims, the inventor of the VAR.

Date: 2023
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DOI: 10.1007/978-3-031-37310-7_10

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