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2023 | OriginalPaper | Chapter

11. Vector Autoregressions II: Extensions

Author : John D. Levendis

Published in: Time Series Econometrics

Publisher: Springer International Publishing

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Abstract

In the previous chapter we covered the basics of reduced-form VARs on stationary data.

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previous chapter Vector Autoregressions I: Basics
next chapter Cointegration and VECMs
Footnotes
1
Dolado & 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.
 
Literature
Amisano, G., & Giannini, C. (2012). Topics in structural VAR econometrics. Springer Science & Business Media.
Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655–673.
Dolado, J. J., & Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369–386.CrossRef
Enders, W. (2014). Applied econometric time series (3rd ed.). Wiley & Sons.
Granger, C. W. (2004). Time series analysis, cointegration, and applications. American Economic Review, 94(3), 421–425.CrossRef
Kilian, L., & Lütkepohl, H. (2017). Structural vector autoregressive analysis. Cambridge University Press.CrossRef
Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media.
Rachev, S. T., Mittnik, S., Fabozzi, F. J., Focardi, S. M. et al. (2007). Financial econometrics: From basics to advanced modeling techniques (Vol. 150). John Wiley & Sons.
Shumway, R. H., & Stoffer, D. S. (2006). Time series analysis and its applications: With R examples. Springer Science & Business Media.
Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1), 225–250.CrossRef
Tsay, R. S. (2013). Multivariate time series analysis: With R and financial applications. John Wiley & Sons.
Metadata
Title
Vector Autoregressions II: Extensions
Author
John D. Levendis
Copyright Year
2023
Book
Time Series Econometrics

Print ISBN: 978-3-031-37309-1

Electronic ISBN: 978-3-031-37310-7

Copyright Year: 2023

DOI
https://doi.org/10.1007/978-3-031-37310-7_11

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