Multivariate Analysis of Stationary Time Series

Abstract

This is the second chapter that presents models con- fined to stationary time series, but now in the context of multivariate analysis. Vector autoregressive models and structural vector autoregressive models are introduced. The analytical tools of impulse response functions, fore- cast error variance decomposition, and Granger causal- ity, as well as forecasting and diagnostic tests, are out- lined. As will be shown later, these concepts can be ap- plied to cointegrated systems, too.