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rephrased and copied the question from the title to the body to improve post readability
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edit approved Sep 12 at 21:04
cottontail
edit approved Sep 12 at 21:04
cottontail
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Does it have to do with the interdependence of one equation on the lagged values of its own as well as the other equations?

If I remember correctly, in simultaneous equations, cross-causality is also a cause for endogeneity, but in VAR models, the causality moves in one direction, the past impacts the future and not vice-versa.

So why are the variables in a VAR model considered endogenous? Does it have to do with the interdependence of one equation on the lagged values of its own as well as the other equations?

Does it have to do with the interdependence of one equation on the lagged values of its own as well as the other equations?

If I remember correctly, in simultaneous equations, cross-causality is also a cause for endogeneity, but in VAR models the causality moves in one direction, the past impacts the future and not vice-versa.

If I remember correctly, in simultaneous equations, cross-causality is also a cause for endogeneity, but in VAR models, the causality moves in one direction, the past impacts the future and not vice-versa.

So why are the variables in a VAR model considered endogenous? Does it have to do with the interdependence of one equation on the lagged values of its own as well as the other equations?

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Richard Hardy
Richard Hardy
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Shushue
Shushue
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Why are the variables in a VAR model considered endogenous?

Does it have to do with the interdependence of one equation on the lagged values of its own as well as the other equations?

If I remember correctly, in simultaneous equations, cross-causality is also a cause for endogeneity, but in VAR models the causality moves in one direction, the past impacts the future and not vice-versa.