Chapter 47
VECTOR AUTOREGRESSIONS AND
COINTEGRATION*
MARK W. WATSON
Northwestern University and Federal Reserve Bank of Chicago
Contents
Abstract
1. Introduction
2. Inference in VARs with integrated regressors
2.1. Introductory comments
2.2. An example
2.3. A useful lemma
2.4. Continuing with the example
2.5. A general framework
2.6. Applications
2.7. Implications for econometric practice
3. Cointegrated systems
3.1. Introductory comments
3.2. Representations for the I(1) cointegrated model
3.3. Testing for cointegration in I(1) systems
3.4. Estimating cointegrating vectors
3.5. The role of constants and trends
4. Structural vector autoregressions
4.1. Introductory comments
4.2. The structural moving average model, impulse response functions and
variance decompositions
4.3. The structural VAR representation
4.4. Identification of the structural VAR
4.5. Estimating structural VAR models
References