approachesto modelingtherelationshipbetweenseveralvariables.Herewedescribethe estimationandanalysisofvectorautoregression(VAR)andthevector errorcorrection(VEC)models.Wealsodescribetoolsfortestingforthe presenceofcointegratingrelationshipsamongseveralvariables. VARTheory Thevectorautoregression(VAR)iscommonlyusedforforecasting...
approaches to modeling the relationship between several variables. Here we describe the estimation and analysis of vector autoregression (VAR) and the vector error correction (VEC) models. We also describe tools for testing for the presence of cointegrating relationships among several variables. VAR The...