Vector Autoregression
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High Quality Content by WIKIPEDIA articles! Vector autoregression (VAR) is an econometric model used to capture the evolution and the interdependencies between multiple time series, generalizing the univariate AR models. All the variables in a VAR are treated symmetrically by including for each variable an equation explaining its evolution based on its own lags and the lags of all the other variables in the model. Based on this feature, Christopher Sims advocates the use of VAR models as a theory-free method to estimate economic relationships, thus being an alternative to the "incredible identification restrictions" in structural models.…mehr

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High Quality Content by WIKIPEDIA articles! Vector autoregression (VAR) is an econometric model used to capture the evolution and the interdependencies between multiple time series, generalizing the univariate AR models. All the variables in a VAR are treated symmetrically by including for each variable an equation explaining its evolution based on its own lags and the lags of all the other variables in the model. Based on this feature, Christopher Sims advocates the use of VAR models as a theory-free method to estimate economic relationships, thus being an alternative to the "incredible identification restrictions" in structural models.