Autore
LUETKEPOHL, Helmut

Titolo
Econometric Analysis with Vector Autoregressive Models
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2007 - Fascicolo: 11 - Pagina iniziale: 1 - Pagina finale: 56

Vector autoregressive (VAR) models for stationary and integrated variables are reviewed. Model specification and parameter estimation are discussed and various uses of these models for forecasting and economic analysis are considered. For integrated and cointegrated variables it is argued that vector error correction models offer a particularly convenient parameterization both for model specification and for using the models for economic analysis.




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