Econometrics HT 18

Chapter 29 : Multivariate time series models, lectures

By Lund University

Time series models involving several variables.

Multivariate time series models, lectures

The main focus of this section is the augmented distributed lag (ADL) model. We also learn how to estimate long-run and short-run effects. We introduce the concept cointegration and how to test for cointegration.

ADL(p,q) model

Long run and short run effects in ADL models