Vector Autoregressions

Helmut Lütkepohl

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical and numerical algorithms

Abstract

This chapter contains section titled: INTRODUCTION VAR MODELS ESTIMATION MODEL SPECIFICATION AND MODEL CHECKING USES OF VECTOR AUTOREGRESSIVE MODELS CONCLUSIONS AND EXTENSIONS

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1980Macroeconomics and Reality 1995Statistical inference in vector autoregressions with possibly integrated processes 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1995Multivariate Simultaneous Generalized ARCH 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances

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