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Results tagged with vector-autoregression
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user 69821
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.
3
votes
VAR in levels for cointegrated data
I want to expand on derFuchs post. Further, I feel that too often when a unit root is present, people automatically just first difference their data. It's not always necessary!
Prediction
We've always …
- 932
6
votes
VAR model for first differences (not a good idea?)
Think of it this way, when data is I(1), that is interesting. It tell's us something about the underlying process. Further, if you have two I(1) process and they are co-integrated, then this is real …
- 932
12
votes
VAR forecasting methodology
I thought I would add to Regis A Ely very nice answer. His answer is not wrong, but using a VAR to forecast is different than using a VAR to do other VAR type things (i.e. IRF, FEVD, Historical Decom …
- 932