Econometric Analysis with Vector Autoregressive Models
Title: Econometric Analysis with Vector Autoregressive Models
Author: LUETKEPOHL, Helmut
Publisher: European University Institute
Series/Report no.: EUI ECO; 2007/11
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.
Type of Access: openAccess