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Results tagged with vector-autoregression
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user 357276
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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Johansen Cointegration Test at Levels or First Differences in a VAR Model
I have multiple variables that I am trying to perform a VAR model with, but all my variables are non-stationary at levels as they fail the Augmented Dickey Fuller test. Having taken the first differen …
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