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Results tagged with vector-autoregression
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user 328848
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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In a time series forecasting, should we apply differencing on entire dataset if one or two f...
It all depends on the actual data you're dealing with, generally speaking using VAR with nonstationary time series will not work. However, you can try to approach the problem with VECM.
This could be …
- 205
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Hosking test vs Granger Causality for VAR - to use or not to use?
Let's say that we have 2 stationary time series: X and Y. Granger's causality test outputs no granger causality between them, however Hosking cross-correlation test proves there is a relationship betw …
- 205