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Title:Vector autoregressive analysis PDF Logo
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.
dynamic econometric models
impulse responses
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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