Applied Econometrics
Vector Autoregression and Causality
P Dunne
J Stewart and L Gill (1998) "Econometrics", Prentice Hall. Ch 9.
W Charemza and M Deadman (1992) "New Directions in Econometric Practice", Edward Elgar. Ch 7.
Granger CWJ (ed) (1991) "Modelling Economic Series", Clarendon Press, Oxford. This contains reprints of:
Sims CA (1980) "Macroeconomics and Reality", Econometrica, Vol 48, No 1, Jan, pp1-48.
Pagan A (1987) "The Econometric Methodologies: A Critical Appraisal", Journal of Economic Surveys, Vol 1, No 1, jan.
Leamer EE (1983) "Lets Take the Con Out of Econmetrics", American Economic Review, Vol 23, no 1, March.
Dunne P and R Smith (1990) "Military Expenditure and Unemployment in the OECD", Defence Economics, Vol 1, pp 57-73.
Estimates the simplest form of VAR to test for Granger causality between military spending and unemployment.
Data series for section 4 of the paper are:
MEUKHIST.FIT
MEUSHIST.FIT
Use UR2 and GU, SM and GSM to replicate results for UK and use the Johansen procedure to develop the analysis.