I am looking for resources that give a self-contained introduction to vector autoregression. To be a bit more specific, I am interested in VAR models and their application to isolating and investigating monetary policy shocks.

  • $\begingroup$ Almost a duplicate at Cross Validated: What are good resources to learn about VAR models?. $\endgroup$ Jan 22, 2017 at 16:09
  • $\begingroup$ I am looking for a discussion of VARs in the context of evaluating monetary shocks. I have Hayashi for a purely statistical treatment. $\endgroup$
    – 123
    Jan 22, 2017 at 16:40


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