| Article ID: | iaor1996668 |
| Country: | United Kingdom |
| Volume: | 14 |
| Issue: | 3 |
| Start Page Number: | 159 |
| End Page Number: | 166 |
| Publication Date: | May 1995 |
| Journal: | International Journal of Forecasting |
| Authors: | Holden Ken |
This paper provides an introduction to vector autoregression models, explaining their origins and their use for modelling and forecasting. The recent developments of structural modelling and the treatment of non-stationary variables are also considered.