vector autoregression (VAR)

GPTKB entity

Statements (30)
Predicate Object
gptkbp:instanceOf statistical analysis
gptkbp:analyzes multivariate time series
gptkbp:appliesTo gptkb:GDP
exchange rates
inflation
interest rates
gptkbp:capturedBy linear interdependencies among multiple time series
gptkbp:developedBy gptkb:Christopher_Sims
gptkbp:estimatedCost gptkb:ordinary_least_squares
gptkbp:extendsTo structural VAR (SVAR)
vector error correction model (VECM)
gptkbp:generalizes univariate autoregression
https://www.w3.org/2000/01/rdf-schema#label vector autoregression (VAR)
gptkbp:implementedIn gptkb:Python
gptkb:MATLAB
gptkb:Stata
gptkb:EViews
R
gptkbp:introducedIn 1980
gptkbp:output forecast error variance decompositions
impulse response functions
gptkbp:relatedTo gptkb:Granger_causality
cointegration
lag order selection
gptkbp:requires stationarity
gptkbp:usedIn macroeconomics
time series analysis
econometrics
gptkbp:bfsParent gptkb:ARIMA_models
gptkbp:bfsLayer 7