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What is VAR Model Estimation and Analysis about?

The document describes the results of estimating a Vector Autoregression (VAR) model for the first differences of the unemployment and GDP variables in Brazil. A VAR(14) model was selected based on information criteria. The model was estimated and diagnostic tests were performed. While some lags in the VAR coefficients were statistically significant, residual autocorrelation was found at lags 12 and 14. The residuals also exhibited non-normality. To address this, outliers were identified in the original dat

Author

celso

Language

EN