Examples of the use of Vector Autoregressive Models 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 &quot;Vector Autoregressive Models&quot; 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.
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.