Understanding vector autoregressions: a guide for researchers and practitioners
Auteur :
Michail, Nektarios
Éditeur :
Springer Nature Switzerland AG
ISBN :
9783032196033
Date de publication :
21 juil. 2026
Dimensions :
21,0 x 14,8 cm
Langue :
Anglais
Pays d'origine :
Suisse
The book offers a concise, accessible guide to Vector Autoregression (VAR) models. Starting with data preparation, the book demonstrates how VAR models are estimated, the criteria for selecting the number of lags and how the researcher should use model diagnostics.