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Results tagged with vector-autoregression
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user 438599
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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Doing a VARMA model but ran into some issues with ECCM and non invertible matrices
Im using the MTS package since I'm basing myself on Tsay (2014). I'm trying to fit a model with mexican unemployment rates and CPI. doing the eccm I get:
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