Chapter

The Vector Autoregressive Model

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0002

Series: Advanced Texts in Econometrics

 							The Vector Autoregressive Model

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Deals with the classical statistical analysis of the unrestricted vector autoregressive model. We give a necessary and sufficient condition for stationarity and a representation for the stationary solution. We derive the ordinary least squares estimators as maximum likelihood estimator and find the asymptotic properties of the estimators for stationary processes to compare them with the results for non‐stationary processes. Finally, we give a brief description of some misspecification tests for the unrestricted model and analyse two real‐life examples.

Keywords: misspecification tests; stationary solution; vector autoregressive model

Chapter.  7964 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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