Empirical Vector Autoregressive Modeling

Chapter 2 introduces the baseline version of the VAR model, with its basic statistical assumptions that we examine in the sequel. We first check whether the variables in the VAR can be transformed to meet these assumptions. We analyze the univariate characteristics of the series. Important properties are a bounded spectrum, the order of (seasonal) integration, linearity and normality after the appropriate transformation. Subsequently, these properties are contrasted with the properties of stochastic fractional integration. We suggest data-analytic tools to check the assumption of univariate un... Mehr ...