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Results tagged with vector-autoregression
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user 354621
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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VAR with trend-stationary variables
I'm currently trying to estimate a VAR with 3 variables - consumption, investment and a credit spread. I have inspected the variables and run ADF tests to determine that they are in-fact trend-station …
