Arbeitspapier

Vector autoregressive analysis

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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.

Language
Englisch

Bibliographic citation
Series: SFB 373 Discussion Paper ; No. 1999,31

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Subject
Cointegration
forecasting
dynamic econometric models
impulse responses

Event
Geistige Schöpfung
(who)
Lütkepohl, Helmut
Event
Veröffentlichung
(who)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(where)
Berlin
(when)
1999

Handle
URN
urn:nbn:de:kobv:11-10056302
Last update
10.03.2025, 11:42 AM CET

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Object type

  • Arbeitspapier

Associated

  • Lütkepohl, Helmut
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

  • 1999

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