Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61728
Authors: 
Lütkepohl, Helmut
Year of Publication: 
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: 
Document Type: 
Working Paper

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