Two decades of vector autoregression (VAR) modelling
A vector autoregression (VAR) is defined as a vector of endogenous variables regressed against its own lags. VARs therefore are considered part of a general class of simultaneous equations models. By construction, VAR analysis allows us to examine over time the dynamic impacts of innovations to vari...
| Udgivet i: | The Philippine Review of Business and Economics Vol. XXXVIII, No. 2 (December 2001), p. [83]-121. |
|---|---|
| Hovedforfatter: | |
| Format: | Analytics |
| Sprog: | English |
| Udgivet: |
2001.
|
| Fag: |