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What is the Vector Autoregression (VAR) Model? What are the main analytical tools of VAR model?

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تم إضافة السؤال من قبل Md. Shahnawaz Karim Karim , Economic Advisor , Ministry of Finance, Riyadh, Saudi Arabia
تاريخ النشر: 2015/09/15
Muhammad Tahir Rashid
من قبل Muhammad Tahir Rashid , Campus Director/Director Academics , National College of Business Administration and Economics

Main analysis tools for VAR are Johnson Cointegration 

ADEBOLA ODEBUNMI
من قبل ADEBOLA ODEBUNMI , Research assistant , International Food Policy Research Institute

Var is an econometric model used for time series analysis. The VAR invovles carrying out some test such as the test of unit root, test of co-integration, running the error correctio model if co-integration exist or running the unrestricted var if co-integration does not exist. The last is involves running the diagnostic check to test for serial correlation. heteroskedasity and nomality.

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