Vector autoregressive analysis

Helmut Lütkepohl

No 1999,31, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other restrictions are discussed. Possibilities for model validation are also considered, Causality tests, impulse responses and forecast error variance decompositions are presented as tools for analyzing VAR models.

Keywords: Cointegration; forecasting; dynamic econometric models; impulse responses (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (5)

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