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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/61728
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| Title: | | Vector autoregressive analysis  |
| Authors: | | Lütkepohl, Helmut |
| Issue Date: | | 1999 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,31 |
| 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. |
| Subjects: | | Cointegration forecasting dynamic econometric models impulse responses |
| JEL: | | C32 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10056302 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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