This valuable text provides a comprehensive introduction to VAR
modelling and how it can be applied. In particular, the author focuses
on the properties of the cointegrated VAR model and its implications for
macroeconomic inference when data are non-stationary.
The text provides
a number of insights into the links between statistical econometric
modelling and economic theory and gives a thorough treatment of
identification of the long-run and short-run structure as well as of the
common stochastic trends and the impulse response functions.
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