1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo- cated largely unrestricted reduced form multivariate time series models, unrestricted VAR...
1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time se...
![Model Reduction Methods for Vector Autoregressive Processes Ralf Brnggemann Ralf Bruggemann Ralf Br]ggemann 9783540206439 Springer](/9783540206439_model_reduction_methods_for_vector_autoregressive_processes.jpg "Model Reduction Methods for Vector Autoregressive Processes")
