3.3 向量自回归模型.pptVIP

§3.3 向量自回归模型Vector Autoregression Models,VAR 一、向量自回归模型概述 二、向量自回归模型估计 三、格兰杰因果关系检验 四、脉冲响应分析 五、方差分解分析 六、向量误差修正模型 The Prize in Economic Sciences 2011 The Royal Swedish Academy of Sciences has decided to award the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for 2011 to Thomas J. Sargent, New York University, New York, NY, USA, and Christopher A. Sims, Princeton University, Princeton, NJ, USA, “for their empirical research on cause and effect in the macroeconomy” How are GDP and inflation affected by a temporary increase in the interest rate or a tax cut? What happen