Management research, especially in the areas like finance and economics is turning out to be more complicated on a daily basis, as the world of business is being encountered with several kinds of new issues, which has not been seen or experienced before. Many students are taking assistance from highly qualified scholars to complete their research studies successfully and within time Researchers are trying hard to look into the past, so that they can analyze the present situation, and along with that, they can foresee what awaits the industrial world in future. When they try to link the historical events with the present scenario, they generally go for analyzing the time series data. There are more than a few econometric techniques, which can be used for analyzing time series data. Out of all the existing techniques, analysis of causal association seems to be the most popular one among the econometric researchers in finance and economics domains, and while carrying out causal analysis among several variables, they mainly bank upon Vector Autoregressive technique, which is also commonly known as VAR methodology. With the advent of latest advancements in mathematical techniques, existing econometric techniques are also undergoing a transformation. There are transformations in the VAR method as well. Following are two...