Estimation of Vector Autoregressive Models

Klaus Neusser ()

Chapter 13 in Time Series Econometrics, 2016, pp 225-239 from Springer

Abstract: Abstract In this chapter we derive the Least-Squares (LS) estimator for vectorautoregressive (VAR) models and its asymptotic distribution. For this end, we have to make several assumption which we maintain throughout this chapter.

Keywords: Covariance Matrix; Permutation Matrix; Generalize Little Square; Vector Autoregressive Model; Commutation Matrix (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-32862-1_13

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DOI: 10.1007/978-3-319-32862-1_13

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