What is the exact difference between an autoregressive (AR) and vector autoregressive model (VAR)?
I always thought that VAR would just be for more than two variables, until I learned that AR can also have more than two variables. I.e. I had a misunderstanding(?) that AR models are not always bivariate.
Before I write too much potentially false assumptions about the difference between AR and VAR, it would rather be interested to see if anyone can make provide a quick and good summary.