Example: stock market
Vector Autoregressive Models for Multivariate Time Series

Vector Autoregressive Models for Multivariate Time Series

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such as a linear time trend or seasonal dummy variables may be required to represent the data properly. Additionally, stochastic exogenous variables may be required as well. The general form of the VAR(p)modelwithde-terministic terms and exogenous variables is given by Yt= Π 1Yt−1+Π 2Yt−2+···+ΠpYt−p+ΦDt+GXt+εt (11.4)

  Variable, Dummy, Dummy variable

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