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Vector autoregression

Vector autoregression (VAR) is a statistical model used to capture the relationship between multiple quantities as they change over time. VAR is a type of stochastic process model. VAR models generalize the single-variable (univariate) autoregressive model by allowing for multivariate time series. [citation needed] VAR models are often used in economics…

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Overview

Specification

Structural vs. reduced form

Estimation

Interpretation of estimated model

Forecasting using an estimated VAR model

Applications

Software

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Vector autoregression

Nodes73
Edges72
Triples10
Avg. degree1.97
Density0.027397
Components1

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Vector autoregression

Top relations

has application · 6
Vector autoregression → Caraka, Christopher Sims, He, Sims, Sio Iong Ao, VAR
related to Degrees of freedom · 3
Vector autoregression → For, This, Vector
see also · 1
Vector autoregression → Bayesian

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Important terminology

var model time variables error vector matrix structural variable models terms displaystyle equation covariance one series example form lag lags

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Vector autoregressionhas applicationChristopher Sims0.60section
Vector autoregressionhas applicationVAR0.60section
Vector autoregressionhas applicationHe0.60section
Vector autoregressionhas applicationSims0.60section
Vector autoregressionhas applicationSio Iong Ao0.60section
Vector autoregressionhas applicationCaraka0.60section
Vector autoregressionrelated to Degrees of freedomVector0.60section
Vector autoregressionrelated to Degrees of freedomFor0.60section
Vector autoregressionrelated to Degrees of freedomThis0.60section
Vector autoregressionsee alsoBayesian0.60section

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