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The Fall 2001 volume of the Journal of Economic Perspectives is entirely devoted to
Econometric Tools.  (It's not in JSTOR quite yet -- I wish that wall would move a little
faster.)
 
Stock and Watson have an article titled "Vector Autoregressions" with a very brief (thin
:-))) history (including a footnote to Watson's 1994 survey article), a nice non-expert
presentation, and a solid bibliography (with lots of Sims, but alas no Judy Klein).
 
 
Humberto Barreto 
 
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