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Results tagged with vector-autoregression
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user 132115
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.
3
votes
1
answer
2k
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Omitted Variable Bias in a VAR-Model
I am concerned about the following issue.
One big problem in OLS regression is omitted variable bias, which is normally reflected with explanatory variables being collinear with the error term.
Now, …
- 53
1
vote
0
answers
987
views
Comparing Impulse Response Functions
I am estimating a structural VAR Model in levels with $p=3$ and plot orthogonalised impulse response functions.
A structural VAR with p lags (sometimes abbreviated SVAR) is
$B_0 y_t = c_0 + B_1 y_{ …
- 53
1
vote
0
answers
1k
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VAR model for a short time series yields autocorrelated residuals
I am currently conducting an analysis on a small sample ($n=41$) first-difference VAR. The underlying data is only available in yearly terms so there is unfortunately no possibility to increase sample …
- 53