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Subject:	HES: QUERY -- History of Vector Auto Regression
From:	[log in to unmask] (Steven G. Medema)
Date:	Fri Mar 31 17:19:16 2006
Content-Type:	text/plain
Parts/Attachments:	text/plain (13 lines)

----------------- HES POSTING ----------------- 
The obvious starting point is Judy Klein's STATISTICAL VISIONS IN TIME, which contains a
nice discussion of early work on autoregression.  As far as VAR goes, Christopher Simms
did a few nice pieces in the Minneapolis Fed REVIEW back in the 80s, if memory serves.  As
Fed REVIEW pieces, they are a bit less technical than the standard journal literature and
thus perhaps a bit better suited than some things for an undergrad.
 
Steve Medema 
University of Colorado at Denver 
 
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