Some of you might be interested in this:
An Overview of VAR Modelling, by Dave Giles: ...my various posts on different aspects of VAR modelling have been quite popular. Many followers of this blog will therefore be interested in a recent working paper by Helmut Luetkephol. The paper is simply titled, "Vector Autoregressive Models", and it provides an excellent overview by one of the leading figures in the field.
You can download the paper from here.