Econometric methods: A review

Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin

in Global and National Macroeconometric Modelling

Published in print August 2006 | ISBN: 9780199296859
Published online September 2006 | e-ISBN: 9780191603853 | DOI:
 Econometric methods: A review

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This chapter briefly reviews the econometric methods needed for the empirical analysis of cointegrating VAR models and the associated impulse response functions, including new materials (on the conditions under which error-correction models are mean-reverting, for example) that are particularly useful in practical macroeconometric modelling.

Keywords: VARX; augmented VAR; cointegration; error-correction models; impulse response; persistence profiles; small sample

Chapter.  17700 words. 

Subjects: Econometrics and Mathematical Economics

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