This paper surveys three topics: vector autoregressive (VAR) models with integrated regressors, cointegration, and structural VAR modeling. The paper begins by developing methods to study potential "unit root" problems in multivariate models, and then presents a simple set of rules designed to help applied researchers conduct inference in VARs. A large number of examples are studied, including tests for Granger causality, tests for VAR lag length, spurious regressions and OLS estimators of cointegrating vectors. The survey of cointegration begins with four alternative representations of cointegrated systems: the vector error correction model (VECM), and the moving average, common trends and triangular representations. A variety of tests for cointegration and efficient estimators for cointegrating vectors are developed and compared. Finally, structural VAR modeling is surveyed, with an emphasis on interpretation, econometric identification and construction of efficient estimators. Each section of this survey is largely self-contained. Inference in VARs with integrated regressors is covered in Section 2, cointegration is surveyed in Section 3, and structural VAR modeling is the subject of Section 4.
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ReDIF This chapter was published in: R. F. Engle & D. McFadden (ed.) Handbook of Econometrics, , chapter 47, pages 2843-2915, 1986.
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This chapter was published in the following book, which is listed on IDEAS: R. F. Engle & D. McFadden (ed.), 1986.
"Handbook of Econometrics,"
Handbook of Econometrics,
Elsevier,
edition 1, volume 4, number 4.
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Find related papers by JEL classification: C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other