Vector Autoregressions II: Extensions

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

Chapter 11 in Time Series Econometrics, 2018, pp 311-341 from Springer

Abstract: Abstract In the previous chapter, we covered the basics of reduced form VARs on stationary data. In this chapter, we continue learning about VARs, but we extend the discussion to structural VARs (SVARs) and VARS with integrated variables.

Date: 2018
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DOI: 10.1007/978-3-319-98282-3_11

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