A COMPANION TO Theoretical Econometrics

Uses of Vector Autoregressive Models

When an adequate model for the DGP of a system of variables has been found it may be used for forecasting and economic analysis. Different tools have been proposed for the latter purpose. For instance, there has been an extensive dis­cussion of how to analyze causal relations between the variables of a system of interest. In this section forecasting VAR processes will be discussed first. Fore­casting in more general terms is discussed in Chapter 27 by Stock in this volume. In subsection 5.2 the concept of Granger-causality will be introduced which is based on forecast performance. It has received considerable attention in the theoretical and empirical literature. In subsection 5.3 impulse responses are considered. They may also be regarded as instruments for analyzing causal relations between variables. Finally, forecast error variance decompositions and policy analysis are discussed in subsections 5.4 and 5.5, respectively.

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A COMPANION TO Theoretical Econometrics

Normality tests

Let us now consider the fundamental problem of testing disturbance normality in the context of the linear regression model: Y = Xp + u, (23.12) where Y = (y1, ..., …

Univariate Forecasts

Univariate forecasts are made solely using past observations on the series being forecast. Even if economic theory suggests additional variables that should be useful in forecasting a particular variable, univariate …

Further Research on Cointegration

Although the discussion in the previous sections has been confined to the pos­sibility of cointegration arising from linear combinations of I(1) variables, the literature is currently proceeding in several interesting …

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