Question: Although the Vector Autoregressive (VAR) approach is simple in the sense that one does not have to worry about determining which variables are endogenous and

Although the Vector Autoregressive (VAR) approach is simple in the sense that one does not have to worry about determining which variables are endogenous and which ones are exogenous, there are some problems with VAR modelling."

Discuss any THREE (3) problems of VAR modelling. (9 marks)

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