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Results tagged with vector-autoregression
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user 377742
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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BVAR model: Draws and Burn-In?
This is a very basic question. I am trying to understand how a BVAR model works. One thing I dont get is why we are using a burn-in period and what we are making "draws" from. I simply can not find an …
- 63
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Trade-offs when building VAR models
I am trying to build my first VAR model, consisting of three time series, for forecasting and have gotten quite far. I have made all the tests and comparing models indcluding different lags, different …
- 63