<p>VAR models are typically used in macroeconomics, among other fields. Lütkepohl <a href="https://www.springer.com/gp/book/9783540401728" rel="nofollow noreferrer">&quot;New Introduction to Multiple Time Series Analysis&quot;</a> (2005) (a textbook) contains an in-depth presentation of VAR models and includes some relevant examples.</p>

CC BY-SA 4.0
2021-04-30T20:10:03.980Z
2021-04-30T20:10:03.980Z
Richard Hardy
<p>There is this <a href="https://www.banque-france.fr/sites/default/files/medias/documents/wp733.pdf" rel="nofollow noreferrer">study</a> from Banque de France using a Bayesian VAR to analyse and forecast macroeconomic indicators, authors are Gergely Ganics and Florens Odendahl.</p>

CC BY-SA 4.0
2021-04-28T10:04:43.030Z
2021-04-28T10:04:43.030Z
Browl
<p>I am self-learning Vector Autoregressive Models currently, and have practiced on a few datasets. But I wanted to read some actual research papers that use VAR, so that I get an idea of the level of rigour in their use in actual research or the practical sides to be kept in mind to use them.</p>
<p>When I searched &quot;Vector Autoregressive Models&quot; or its variants in Google Scholar, it displays papers about VAR. I wanted to read papers which apply VAR to answer different questions, such as in monetary or fiscal policy etc. maybe.</p>

<reference-request><applied-econometrics><time-series>
Examples of the use of Vector Autoregressive Models
Ishan Kashyap Hazarika
# Examples of the use of Vector Autoregressive Models

(Asked by: username_0 on 2021-04-27)

I am self-learning Vector Autoregressive Models currently, and have practiced on a few datasets. But I wanted to read some actual research papers that use VAR, so that I get an idea of the level of rigour in their use in actual research or the practical sides to be kept in mind to use them.

When I searched "Vector Autoregressive Models" or its variants in Google Scholar, it displays papers about VAR. I wanted to read papers which apply VAR to answer different questions, such as in monetary or fiscal policy etc. maybe.

**Tags:** reference-request, applied-econometrics, time-series


---

## 2 answers

### Answer by username_1 on 2021-04-30. Score: 2

VAR models are typically used in macroeconomics, among other fields. Lütkepohl ["New Introduction to Multiple Time Series Analysis"](https://www.springer.com/gp/book/9783540401728) (2005) (a textbook) contains an in-depth presentation of VAR models and includes some relevant examples.


---

### Answer by username_2 on 2021-04-28. Score: 2

There is this [study](https://www.banque-france.fr/sites/default/files/medias/documents/wp733.pdf) from Banque de France using a Bayesian VAR to analyse and forecast macroeconomic indicators, authors are Gergely Ganics and Florens Odendahl.


---

