Estimation of Vector Autoregressive Models

Klaus Neusser
Additional contact information
Klaus Neusser: University of Bern

Chapter 13 in Time Series Econometrics, 2025, pp 231-247 from Springer

Abstract: Abstract This chapter is concerned with the estimation of vector autoregressive (VAR) models. Given the order p of the VAR model, the asymptotic properties of several estimators (ordinary least squares (OLS), Yule-Walker estimator, and maximum likelihood estimation) are discussed.

Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-88838-0_13

Ordering information: This item can be ordered from
http://www.springer.com/9783031888380

DOI: 10.1007/978-3-031-88838-0_13

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().