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Vector Autoregressions II: Extensions

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Time Series Econometrics

Part of the book series: Springer Texts in Business and Economics ((STBE))

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Abstract

In the previous chapter, we covered the basics of reduced form VARs on stationary data. In this chapter, we continue learning about VARs, but we extend the discussion to structural VARs (SVARs) and VARS with integrated variables.

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Notes

  1. 1.

    Dolado and Lütkepohl (1996) derived many of the same results for the simpler case that the variables are I(1). The paper by Toda and Yamamoto (1995) is more general, showing the case for variables integrated up to an arbitrary order d.

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Authors and Affiliations

  1. Department of Economics, Loyola University New Orleans, New Orleans, LA, USA

    John D. Levendis

Authors
  1. John D. Levendis
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Levendis, J.D. (2018). Vector Autoregressions II: Extensions. In: Time Series Econometrics. Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-98282-3_11

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