Econometric Analysis with Vector Autoregressive Models

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dc.contributor.author LUETKEPOHL, Helmut
dc.date.accessioned 2007-06-27T14:42:27Z
dc.date.available 2007-06-27T14:42:27Z
dc.date.issued 2007
dc.identifier.issn 1725-6704
dc.identifier.uri http://hdl.handle.net/1814/6918
dc.description.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. en
dc.format.extent 545232 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher European University Institute
dc.relation.ispartofseries EUI ECO en
dc.relation.ispartofseries 2007/11 en
dc.title Econometric Analysis with Vector Autoregressive Models en
dc.type Working Paper en
dc.neeo.contributor LUETKEPOHL|Helmut|aut|EUI70007
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