Construct · 1 fields · 1 citations

vector autoregression: a standalone construct

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Econometrics

a system of equations in which each variable is regressed on lagged values of all variables, used for forecasting and shock analysis.

In econometrics, vector autoregression refers to a system of equations in which each variable is regressed on lagged values of all variables, used for forecasting and shock analysis. This meaning comes from Sims (1980) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

Bayesian vector autoregression1 fields · 1 citationsanchor · a standalone construct shock3 fields · 3 citationsjingle · one word, three constructs Toda-Yamamoto test1 fields · 1 citationsanchor · a standalone construct

References

Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1. https://doi.org/10.2307/1912017

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