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Vector autoregression
Known as:
Structural VAR
, Structural vector autoregression
, Vector autoregressive model
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Vector auto regression (VAR) is an econometric model used to capture the linear inter dependencies among multiple time series. VAR models generalize…
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Related topics
Related topics
22 relations
Autocorrelation
Autoregressive model
Causality
Comparison of statistical packages
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
Highly Cited
2010
Highly Cited
2010
Monetary Policy , Global Liquidity and Commodity Prices
A. Belke
,
Ingo G. Bordon
,
Torben W. Hendricks
2010
Corpus ID: 1126574
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this…
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Review
2010
Review
2010
Freedom of Choice in Macroeconomic Forecasting
Nikolay Robinzonov
,
K. Wohlrabe
2010
Corpus ID: 55103662
Different studies provide a surprisingly large variety of controversial conclusions about the forecasting power of an indicator…
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2009
2009
Another consequence of the economic crisis: a decrease in migrants’ remittances
Isabel Ruiz
,
Carlos Vargas‐Silva
2009
Corpus ID: 154554709
The effects of the current global economic crisis are widespread. The economic downturn has affected large sectors of the…
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2000
2000
Dynamic Risk Sharing in the United States and Europe
Pierfederico Asdrubali
,
Soyoung Kim
2000
Corpus ID: 17271301
This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali…
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2000
2000
Exchange Rates and Economic Growth in Kenya: An Econometric Analysis
M. McPherson
,
T. Rakovski
2000
Corpus ID: 152694465
The current work expands on an earlier paper which had discussed the relationship between economic growth and exchange rate in…
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Highly Cited
1998
Highly Cited
1998
International Transfer of Pricing Information between Dually Listed Stocks
Shmuel Hauser
,
Yael Tanchuma
,
Uzi Yaari
1998
Corpus ID: 56438802
International multiple listing offers a unique opportunity to study the efficiency of information transmission across national…
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Highly Cited
1997
Highly Cited
1997
Granger's Representation Theorem and Multicointegration
Tom Engsted
,
S. Johansen
1997
Corpus ID: 118765707
We consider multicointegration in the sense of Granger and Lee (1990), that is, the cumulated equilibrium error cointegrates with…
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Review
1991
Review
1991
THE TIME-SERIES PROPERTIES OF THE RISK PREMIUM IN THE YEN/DOLLAR EXCHANGE MARKET
F. Canova
,
Takatoshi Ito
1991
Corpus ID: 29926639
SUMMARY In this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar…
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Highly Cited
1984
Highly Cited
1984
Specifying vector autoregressions for macroeconomic forecasting
Robert B. Litterman
1984
Corpus ID: 117906790
This paper describes a Bayesian specification procedure used to generate a vector autoregressive model for forecasting…
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1983
1983
Unbiasedness of Predictions From Estimated Vector Autoregressions
Jean-Marie Dufour
1983
Corpus ID: 124540404
Forecasts from a univariate autoregressive model estimated by OLS are unbiased, irrespective of whether the model fitted has the…
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