Econometric Analysis with Vector Autoregressive Models

Helmut Luetkepohl
Authors registered in the RePEc Author Service: Helmut Lütkepohl

No ECO2007/11, Economics Working Papers from European University Institute

Abstract: Vector autoregressive (VAR) models for stationary and integrated variables are reviewed. Model specification and parameter estimation are discussed and various uses of these models for forecasting and economic analysis are considered. For integrated and cointegrated variables it is argued that vector error correction models offer a particularly convenient parameterization both for model specification and for using the models for economic analysis.

Keywords: VAR; vector autoregressive models (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (6)

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