Stable Vector Autoregressive Processes

Helmut Lütkepohl

Chapter 2 in New Introduction to Multiple Time Series Analysis, 2005, pp 13-68 from Springer

Abstract: Abstract In this chapter, the basic, stationary finite order vector autoregressive (VAR) model will be introduced. Some important properties will be discussed. The main uses of vector autoregressive models are forecasting and structural analysis. These two uses will be considered in Sections 2.2 and 2.3. Throughout this chapter, the model of interest is assumed to be known. Although this assumption is unrealistic in practice, it helps to see the problems related to VAR models without contamination by estimation and specification issues. The latter two aspects of an analysis will be treated in detail in subsequent chapters.

Keywords: Impulse Response; Forecast Error; Forecast Error Variance; Interval Forecast; Impulse Response Analysis (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/978-3-540-27752-1_2

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