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1999-03-19Buch DOI: 10.18452/3700
Vector Autoregressive Analysis
dc.contributor.authorLütkepohl, Helmut
dc.date.accessioned2017-06-15T21:50:36Z
dc.date.available2017-06-15T21:50:36Z
dc.date.created2006-01-18
dc.date.issued1999-03-19
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4352
dc.description.abstractAn introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other restrictions are discussed. Possibilities for model validation are also considered, Causality tests, impulse responses and forecast error variance decompositions are presented as tools for analyzing VAR models.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectCointegrationeng
dc.subjectforecastingeng
dc.subjectdynamic econometric modelseng
dc.subjectimpulse responseseng
dc.subject.ddc330 Wirtschaft
dc.titleVector Autoregressive Analysis
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056302
dc.identifier.doihttp://dx.doi.org/10.18452/3700
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1999
local.edoc.container-issue31
local.edoc.container-year1999
local.edoc.container-erstkatid2135319-0

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