Vector Autoregressive and Vector Error Correction Models

• 2 August 2004
• book chapter
• Published by Cambridge University Press (CUP)
• p. 86-158
• https://doi.org/10.1017/cbo9780511606885.004

Abstract

Keywords

• VECTOR AUTOREGRESSION
• CAUSALITY
• FORECAST
• ESTIMATION
• TRACE
• BREAK POINT
• PORTMANTEAU TEST
• LIKELIHOOD RATIO
• SUPER
• STABLE
• MODEL SPECIFICATION
• RESIDUAL ANALYSIS
• GRANGER CAUSALITY
• BREUSCH GODFREY TEST
• VAR
• EXOGENEITY
• FORECASTING
• FINANCE AND INSURANCE
• FISHER EFFECT
• SCHWARZ CRITERION