Vector autoregression (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Vector autoregression" in English language version.

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doi.org

For multivariate tests for autocorrelation in the VAR models, see Hatemi-J, A. (2004). "Multivariate tests for autocorrelation in the stable and unstable VAR models". Economic Modelling. 21 (4): 661–683. doi:10.1016/j.econmod.2003.09.005.
Hacker, R. S.; Hatemi-J, A. (2008). "Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH". Journal of Applied Statistics. 35 (6): 601–615. doi:10.1080/02664760801920473.
Zellner, Arnold (1962). "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias". Journal of the American Statistical Association. 57 (298): 348–368. doi:10.1080/01621459.1962.10480664.
Sims, Christopher (1980). "Macroeconomics and Reality". Econometrica. 48 (1): 1–48. CiteSeerX 10.1.1.163.5425. doi:10.2307/1912017. JSTOR 1912017.
Chen, Zhengyang; Valcarcel, Victor J. (January 2025). "Modeling inflation expectations in forward-looking interest rate and money growth rules". Journal of Economic Dynamics and Control. 170: 104999. doi:10.1016/j.jedc.2024.104999. ISSN 0165-1889.
Chen, Zhengyang; Valcarcel, Victor J. (October 2021). "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle". Journal of Economic Dynamics and Control. 131: 104214. doi:10.1016/j.jedc.2021.104214. ISSN 0165-1889.

jstor.org

Sims, Christopher (1980). "Macroeconomics and Reality". Econometrica. 48 (1): 1–48. CiteSeerX 10.1.1.163.5425. doi:10.2307/1912017. JSTOR 1912017.

otexts.com

Hyndman, Rob J; Athanasopoulos, George (2018). "11.2: Vector Autoregressions". Forecasting: Principles and Practice. OTexts. pp. 333–335. ISBN 978-0-9875071-1-2.

psu.edu

citeseerx.ist.psu.edu

Sims, Christopher (1980). "Macroeconomics and Reality". Econometrica. 48 (1): 1–48. CiteSeerX 10.1.1.163.5425. doi:10.2307/1912017. JSTOR 1912017.

r-project.org

cran.r-project.org

"Bernhard Pfaff VAR, SVAR and SVEC Models: Implementation Within R Package vars" (PDF).

repec.org

ideas.repec.org

For multivariate tests for autocorrelation in the VAR models, see Hatemi-J, A. (2004). "Multivariate tests for autocorrelation in the stable and unstable VAR models". Economic Modelling. 21 (4): 661–683. doi:10.1016/j.econmod.2003.09.005.
Hacker, R. S.; Hatemi-J, A. (2008). "Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH". Journal of Applied Statistics. 35 (6): 601–615. doi:10.1080/02664760801920473.
Hatemi-J, A.; Hacker, R. S. (2009). "Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?". Applied Economics. 41 (9): 1489–1500.

sciencedirect.com

Chen, Zhengyang; Valcarcel, Victor J. (January 2025). "Modeling inflation expectations in forward-looking interest rate and money growth rules". Journal of Economic Dynamics and Control. 170: 104999. doi:10.1016/j.jedc.2024.104999. ISSN 0165-1889.
Chen, Zhengyang; Valcarcel, Victor J. (October 2021). "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle". Journal of Economic Dynamics and Control. 131: 104214. doi:10.1016/j.jedc.2021.104214. ISSN 0165-1889.

worldcat.org

search.worldcat.org

Chen, Zhengyang; Valcarcel, Victor J. (January 2025). "Modeling inflation expectations in forward-looking interest rate and money growth rules". Journal of Economic Dynamics and Control. 170: 104999. doi:10.1016/j.jedc.2024.104999. ISSN 0165-1889.
Chen, Zhengyang; Valcarcel, Victor J. (October 2021). "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle". Journal of Economic Dynamics and Control. 131: 104214. doi:10.1016/j.jedc.2021.104214. ISSN 0165-1889.