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

Time Series Analysis
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Question added by Md. Shahnawaz Karim Karim , Economic Advisor , Ministry of Finance, Riyadh, Saudi Arabia
Date Posted: 2015/09/15
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Muhammad Tahir Rashid
by Muhammad Tahir Rashid , Campus Director/Director Academics , National College of Business Administration and Economics

Main analysis tools for VAR are Johnson Cointegration 

ADEBOLA ODEBUNMI
by 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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