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This chapter is concerned with the estimation of vector autoregressive (VAR) models. Given the order p of the VAR model, the asymptotic properties of several estimators (ordinary least squares (OLS), Yule-Walker estimator, and maximum likelihood estimation) are discussed.

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Estimation of Vector Autoregressive Models

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  • 发表日期：

    2025年

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  • Klaus Neusser

摘要

This chapter is concerned with the estimation of vector autoregressive (VAR) models. Given the order p of the VAR model, the asymptotic properties of several estimators (ordinary least squares (OLS), Yule-Walker estimator, and maximum likelihood estimation) are discussed.