Vector autoregressive (VAR) model

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Updated: Aug 20, 2021

A generalization of the univariate model of an autoregressive process to a system of equations describing multivariate time series, where all variables are treated equally as endogenous variables and the evolution of each variable is modelled as a linear function of its own lags and of all other variables and their lags.

Reference: Oxford Press Dictonary of Economics, 5th edt.



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