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Chapter 7 looks in detail at dynamic systems of the VAR (vector autoregression) type, from their formalisation to their estimation. It also discusses VAR models in their structural form and impulse response functions, in particular on the basis of local projections.

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On Vector Autoregressions

  • 章节

  • 发表日期：

    2025年

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  • Francis J. Bismans,
  • Olivier Damette

摘要

Chapter 7 looks in detail at dynamic systems of the VAR (vector autoregression) type, from their formalisation to their estimation. It also discusses VAR models in their structural form and impulse response functions, in particular on the basis of local projections.