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Vector Autoregression and Error Correction Models

Author

Listed:
  • Bannikov, V.

    (CEMI RAS, Moscow, Russia)

Abstract

The publication is a part of the consultation series our journal offers to the readers on those econometric methods that are rela-tively new and rarely described in the Russian literature on the subject. Here we are presenting or, to be more exact, describing how to analyze the vector autoregression (VAR) and vector error correction (VEC) models by using the EViews (Version 5) package. We note that the both types of the models have been found useful for and highly appreciated by practicing specialists. For more details one should consult (Verbik, 2006) or (Greene, 2003). The material has been prepared for publication by V. Bannikov. EViews User Manual (Chapter 24) was used in the course of preparation.

Suggested Citation

  • Bannikov, V., 2006. "Vector Autoregression and Error Correction Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 3(3), pages 96-129.
    • Handle: RePEc:ris:apltrx:0159
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    Cited by:

    1. repec:scn:financ:y:2018:i:6:p:6-24 is not listed on IDEAS
    2. M. Tiunova G. & М. Тиунова Г., 2018. "Влияние Внешних Шоков На Российскую Экономику // The Impact Of External Shocks On The Russian Economy," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(4), pages 146-170.
    3. Elena Kuzmenko & Luboš Smutka & Mikhail Pankov & Nadezhda Efimova, 2017. "The Success of Economic Policies in Russia: Dependence on Crude Oil vs. Export Diversification," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(1), pages 299-310.

    More about this item

    Keywords

    vector autoregression; error correction; EViews;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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