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...
| Julkaisussa: | The Philippine Review of Business and Economics Vol. XXXVIII, No. 2 (December 2001), p. [83]-121. |
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| Päätekijä: | |
| Aineistotyyppi: | Analytics |
| Kieli: | English |
| Julkaistu: |
2001.
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| Aiheet: |