Vector autoregressions and common trends in macro and financial economics

Anders Warne

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

Abstract

Vector autoregressions are popular data generating models in applied econometrics. They are frequently used to examine forecasts, to study the sources and the characteristics of economic fluctuatio ...

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1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1986Generalized autoregressive conditional heteroskedasticity 1988Statistical analysis of cointegration vectors 1980Macroeconomics and Reality 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 1990Inference in Linear Time Series Models with some Unit Roots 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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