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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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