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Vector Autoregression Analysis: Estimation and Interpretation

Vector Autoregression Analysis: Estimation andInterpretationJohn E. FloydUniversity of Toronto September 19, 20051 IntroductionThis expositional paper lays out the mechanics of running and interpretingvector autoregressions. It proves no theorems. Rather, it sets out the basicsof how VAR s work and outlines some fundamentals regarding interpreta-tion. For the theoretical details, see Walter Enders,Applied EconometricTime series , John Wiley & Sons, 1995, pp. 291 353 and earlier material asrequired, Helmut L utkepohl,Introduction to Multiple Time series Analysis,Springer-Verlag, 1991, pp.

Time Series, John Wiley & Sons, 1995, pp. 291{353 and earlier material as required, Helmut Lutk˜ epohl, Introduction to Multiple Time Series Analysis, Springer-Verlag, 1991, pp. 9{27, 43{58, and 97{117, and James D. Hamil-ton, Time Series Analysis, Princeton University Press, 1994, pp. 257{372 and earlier material as required.

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