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Econometric Analysis with Vector Autoregressive Models

Listed author(s):
  • Helmut Luetkepohl

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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Paper provided by European University Institute in its series Economics Working Papers with number ECO2007/11.

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Date of creation: 2007
Handle: RePEc:eui:euiwps:eco2007/11
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