# Vector autoregression

## Papers overview

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2016

2016

- IEEE Transactions on Smart Grid
- 2016

A spatio-temporal method for producing very-short-term parametric probabilistic wind power forecasts at a large number ofâ€¦Â (More)

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2014

2014

- 2014

The vector autoregression (VAR), has long proven to be an effective method for modeling the joint dynamics of macroeconomic timeâ€¦Â (More)

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2010

Highly Cited

2010

- Journal of Machine Learning Research
- 2010

Analysis of causal effects between continuous-valued vari ables typically uses either autoregressive models or structuralâ€¦Â (More)

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2009

Highly Cited

2009

- 2009

This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The twoâ€¦Â (More)

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2009

2009

- 2009

In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of nonâ€¦Â (More)

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2007

Highly Cited

2007

- 2007

Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic generalâ€¦Â (More)

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2004

Highly Cited

2004

- 2004

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceriâ€¦Â (More)

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2003

Highly Cited

2003

- 2003

of Searching for the Causal Structure of a Vector Autoregression Vector autoregressions (VARs) are economically interpretableâ€¦Â (More)

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2001

Highly Cited

2001

- 2001

There is interest in economics, finance, and econometrics in the solutions to functional equations where the arguments of theâ€¦Â (More)

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1999

Highly Cited

1999

- 1999

We describe the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifyingâ€¦Â (More)

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