Search results with tag "Vector autoregressive models"

Vector Autoregressive Models for Multivariate Time Series

384 11. Vector Autoregressive Models for Multivariate Time Series This chapter is organized as follows. Section 11.2 describes specification, estimation and inference in VAR models and introduces the S+FinMetrics function VAR. Section 11.3 …

  Model, Vector, Autoregressive, Vector autoregressive models, Var models