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Vector Autoregressive (VAR) Models and Causality Tests, Study notes of Economics

Punjab University (PU)Economics

The concept of Vector Autoregressive (VAR) models and causality tests in economics. It discusses the importance of identifying endogenous and exogenous variables in simultaneous equations models and how VAR models treat all variables as endogenous. The Granger causality test procedure is explained in detail, along with a computer example of financial development and economic growth. The document also covers estimating VAR models and causality tests using econometric software like EViews, Stata, and Microfit.

Typology: Study notes

2021/2022

Available from 07/20/2022

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Easy and Unique Notes of Economics for BSc, BS, MSc, MPhil, and Competitive Exams Preparation
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Download Vector Autoregressive (VAR) Models and Causality Tests and more Study notes Economics in PDF only on Docsity!

Easy and Unique Notes of Economics for BSc, BS, MSc, MPhil, and Competitive Exams Preparation Vector Autoregressive (VAR) Models and ’ Causality Tests CHAPTER CONTENTS Vector autoregressive (VAR) models 320 Causality tests 322 Computer example: financial development and economic growth, what is the causal relationship? 324 Estimating VAR models and causality tests in EViews, Stata and Microfit 327 LEARNING OBJECTIVES Atter studying this chapter you should be able to: Differentiate between univariate and multivariate time series models. Understand Vector Autoregressive (VAR) models and discuss their advantages. Understand the concept of causality and its importance in economic applications. Use the Granger causality test procedure. Use the Sims causality test procedure. Estimate VAR models and test for Granger and Sims causality through the use of econometric software. AOR WN > 319