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
|