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I am self-learning Vector Autoregressive Models currently, and have practiced on a few datasets. But I wanted to read some actual research papers that use VAR, so that I get an idea of the level of rigour in their use in actual research or the practical sides to be kept in mind to use them.

When I searched "Vector Autoregressive Models" or its variants in Google Scholar, it displays papers about VAR. I wanted to read papers which apply VAR to answer different questions, such as in monetary or fiscal policy etc. maybe.

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There is this study from Banque de France using a Bayesian VAR to analyse and forecast macroeconomic indicators, authors are Gergely Ganics and Florens Odendahl.

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VAR models are typically used in macroeconomics, among other fields. Lütkepohl "New Introduction to Multiple Time Series Analysis" (2005) (a textbook) contains an in-depth presentation of VAR models and includes some relevant examples.

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