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This document discusses Vector AutoRegressive (VAR) models, which extend ARMA models into a multivariate framework and are widely used in empirical economics. It covers the structure of VAR models, their advantages and disadvantages, estimation methods including Ordinary Least Squares (OLS) and Generalized Least Squares (GLS), and the conditions under which these methods can be applied. The conclusion emphasizes that VAR models can be estimated separately using OLS without losing efficiency.

Author

mdtitas.stat.iu09

Language

EN