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Results tagged with vector-autoregression
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user 205515
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.
1
vote
2
answers
234
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Correlated error restrictions and OLS
I have a VAR model of the form
$$
Y_t = \beta Y_{t-1} + \varepsilon_t
$$
Where $Y_t$ and $\varepsilon_t$ are $n\times 1$ vectors, and $\beta$ is an $n \times n$ matrix.
The residuals $\varepsilon_{t,i …
- 117
1
vote
1
answer
417
views
MLE on Structural VAR
I have a simple model that I wish to fit using data. The model is of the form below.
\begin{gather}
y_t = -\lambda r_t + \theta a_t + \varepsilon_1 \\ \\
\pi_t = \pi_{t-1} + w y_t + \varepsilon_2 \\ \ …
- 117