Classical versus VAR econometrics: the Janus head effect in economic dynamic modelling

摘要: The aim of this paper is that giving a finer insight into the analytic foundations vector autoregressive models (VAR) in comparison with classical econometric models. To end we show links between techniques structural and VAR model building on one hand, profiles dynamic modelling other. solutions engendered by both ap- proaches, which share common difference-equation ancestry, call for matrix polynomial inver- sion either Taylor or Laurent expansions. former true econometrics, where unit roots are ruled out, whereas latter comes to fore time-series cointegration as an added value. derivation intended result, well interpretation solutions, rest neat algebraic statistical apparatus.