Transcription of Estimating a VAR - LearnEconometrics.com
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Example: biology
Estimating a VAR - LearnEconometrics.com
Estimating a VAR The vector autoregressive model (VAR) is actually simpler to estimate than the VEC model. It is used when there is no cointegration among the variables and it is estimated using time series that have been transformed to their stationary values. In the example from your book, we have macroeconomic data log of real personal disposable income (denoted as Y) and log of real personal consumption expenditure (denoted as C) for the economy over the period 1960:1 to 2009:4 that are found in the dataset. As in the previous example, the first step is to determine whether the variables are stationary.
The levels series appear to be trending together. The differences show no obvious trend, but the mean of the series appears to be greater than zero, suggesting that a …
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