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Stable Vector Autoregressive Processes

In: New Introduction to Multiple Time Series Analysis

Author

Listed:
  • Helmut Lütkepohl

    (European University Institute)

Abstract

In this chapter, the basic, stationary finite order vector autoregressive (VAR) model will be introduced. Some important properties will be discussed. The main uses of vector autoregressive models are forecasting and structural analysis. These two uses will be considered in Sections 2.2 and 2.3. Throughout this chapter, the model of interest is assumed to be known. Although this assumption is unrealistic in practice, it helps to see the problems related to VAR models without contamination by estimation and specification issues. The latter two aspects of an analysis will be treated in detail in subsequent chapters.

Suggested Citation

  • Helmut Lütkepohl, 2005. "Stable Vector Autoregressive Processes," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 2, pages 13-68, Springer.
  • Handle: RePEc:spr:sprchp:978-3-540-27752-1_2
    DOI: 10.1007/978-3-540-27752-1_2
    as

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