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Vector Autoregressive Processes

In: Introduction to Modern Time Series Analysis

Author

Listed:
  • Gebhard Kirchgässner

    (University of St. Gallen)

  • Jürgen Wolters

    (FU Berlin)

  • Uwe Hassler

    (Goethe University Frankfurt)

Abstract

The previous chapter presented a statistical approach to analyse the relations between time series: starting with univariate models, we asked for relations that might exist between two time series. Subsequently, the approach was extended to situations with more than two time series. Such a procedure where models are developed bottom up to describe relations is hardly compatible with the economic approach of theorising where – at least in principle – all relevant variables of a system are treated jointly. For example, starting out from the general equilibrium theory as the core of economic theory, all quantities and prices in a market are simultaneously determined. This implies that, apart from the starting conditions, everything depends on everything, i.e. there are only endogenous variables. For example, if we consider a single market, supply and demand functions simultaneously determine the equilibrium quantity and price.

Suggested Citation

  • Gebhard Kirchgässner & Jürgen Wolters & Uwe Hassler, 2013. "Vector Autoregressive Processes," Springer Texts in Business and Economics, in: Introduction to Modern Time Series Analysis, edition 2, chapter 4, pages 127-154, Springer.
    • Handle: RePEc:spr:sptchp:978-3-642-33436-8_4
    DOI: 10.1007/978-3-642-33436-8_4
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    Cited by:

    1. Aurelie Charles & Damiano Sguotti, 2021. "Sustainable Earnings: How Can Herd Behavior in Financial Accumulation Feed into a Resilient Economic System?," Sustainability, MDPI, vol. 13(11), pages 1-19, May.

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