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Vector Autoregressive Models for Multivariate Time Series

This is page 383 Printer: Opaque this11 Vector Autoregressive Models forMultivariate Time IntroductionThevector autoregression(VAR)modelis one of the most successful,flexi-ble, and easy to use Models for the analysis of Multivariate time Series . It isa natural extension of the univariate Autoregressive model to dynamic mul-tivariate time Series . The VAR model has proven to be especially useful fordescribing the dynamic behavior of economic andfinancial time Series andfor forecasting. It often provides superior forecasts to those from univari-ate time Series Models and elaborate theory-based simultaneous equationsmodels. Forecasts from VAR Models are quiteflexible because they can bemade conditional on the potential future paths of specified variables in addition to data description and forecasting, the VAR model is alsoused for structural inference and policy analysis.

384 11. Vector Autoregressive Models for Multivariate Time Series This chapter is organized as follows. Section 11.2 describes specification, estimation and inference in VAR models and introduces the S+FinMetrics function VAR. Section 11.3 …

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