Stable Vector Autoregressive Processes

  • Helmut Lütkepohl


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.


Impulse Response Forecast Error Forecast Error Variance Interval Forecast Impulse Response Analysis 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Helmut Lütkepohl
    • 1
  1. 1.Department of EconomicsEuropean University InstituteFirenzeItaly

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