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I am looking for websites, books, lecture notes, or research papers to learn about VARs. At the moment I have no knowledge of them.

I would greatly appreciate any advice.

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The most comprehensive texts I know of on the subject would be Lutkehpohl (2010) or Tsay (2015). The latter has its own R package (MTS) and several programming exercises. If you want something that covers the univariate case first then motivates the VAR, there's always Hamilton (1994).

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