The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics)

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This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the
common stochastic trends and the impulse response functions, providing in each case illustrations of applicability.

This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while
also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

The Cointegrated VAR Model: Methodology and Applications (Advanced Texts in Econometrics) Review

If you want to learn to estimate and interpret VEC models, this is a very good introductory book. Juselius not only describes the theory but also explains an empirical exercise on monetary policy which helps to understand the methodology. It is possible to download data and exercises from the book's webpage.

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