# Questions tagged [vector-autoregression]

Vector Auto-Regression, a multivariate time-series model / method. Under VAR, each univariate time-series is a linear combination of its own previous values and the previous values of the other series.

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### Normality assumption n=48 [closed]

Regarding normality assumptions for model evaluation I have been told by my supervisor that it is not needed in the case of analyzing but is needed in forecasting only. i am looking for an explanation....
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### Impulse Response in a VAR model - all endogenous variables

I am trying to understand the implications of an IRF. Specifically in a VAR system. Here is documentation I looked at: https://www.statsmodels.org/stable/vector_ar.html#impulse-response-analysis https:...
1 vote
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### impulse response values VAR statsmodels

I am trying to understand how the values of the irf plots are estimated I read following page: https://www.statsmodels.org/stable/vector_ar.html But I don't understand how the values of the impulse ...
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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 ...
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### Detrending these time series

I have the following time series. Its clearly not a simple linear trend. I want to explore the relationship among these variables using a VAR, or even a time-varying VAR. The biggest issue in my data ...
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### Eigenvalues of VAR(1) coefficient matrix

Suppose we have a VAR(1) model: $$\mathbf{X}_t = \boldsymbol{\Phi} \mathbf{X}_{t-1} + \mathbf{Z}_t, \hspace{10mm} \mathbf{Z}_t \sim WN(0,\Sigma)$$ If we can keep plugging that equation into itself, ...
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### Can I compare forecasting performance of rolling window VAR and usual forecast of model with ARIMA errors?

Can I compare forecasting performance of rolling window VAR and usual forecast of model with ARIMA errors? Or maybe there is exist better way to compare forecasting performance?
1 vote
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### Statsmodels VAR plot_acorr() amount of plots

I am working on a statsmodels VAR model to forecast some values and want to analyze the created model. In the examples and in some books I read about calculating the autocorrelation of the residuals ...
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### Can I compare the forecasting performance of two models VECM and VAR

Can I compare the forecasting performance of two models VECM and VAR with the same dataset, if in the case of VECM I have some of the variables I(1) at the level, and others are stationary?
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### Structural break near the end of training sample

I have multivariate time series (VAR), and i found a break near the end (84.7%). I wanted to use a dummy variable in this situation, but even if I choose 90% training set, the dummy only trains on 100 ...
1 vote
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### Transform Second Difference Predictions from VAR model back to levels

I am currently working with a VAR model in R using the second difference of some variables (it only becomes stationary after differencing twice). So far I'm trying to see if the model fits one of the ...
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1 vote