Need crash course on vector error correction model

bootstrapper100 · October 1st, 2004, 6:54 am

Anyone got a book recommendation for Vector autoregression, vector error correction model and also matrices transformation? Good reference for such stats and regression area?I am working in the credit portfolio risk area.Many thanks!

adas · October 1st, 2004, 9:12 am

Econometrics by Greene should be of some help here. Be wary that the book can be unreadable at times. The book is tailored for economics though...

JamesH83 · October 1st, 2004, 9:29 am

wooldridge is decent. have you looked at hendry?

adas · October 3rd, 2004, 12:38 am

Yep - I'll second Wooldrige. If memory serves correct, Market Models by Carol Alexander has a short yet sweet chapter on this topic - and it's finance related.

WilmottBookshop · October 4th, 2004, 8:01 am

Econometric Analysis by GreeneIntroductory Econometrics by WooldridgeMarket Models by Alexander