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Ov er 1 34 1,00 wi 0 p nn ro ers du an cts no ev un alu ce at d e d, BREAKTHROUGH INNOVATION REPORT • JUNE 2012 THE Copyright © 2012 The Nielsen Company. i Nielsen Breakthrough…

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CHAPTER 5 Vector Autoregression and Vector Error-Correction Models Vector autoregression (VAR) was introduced by Sims (1980) as a technique that could be used by macroeconomists…