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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.
Review
2019
Review
2019
Large Bayesian Vector Autoregressions
J. Chan
Macroeconomic Forecasting in the Era of Big Data
2019
Corpus ID: 133008744
Bayesian vector autoregressions are widely used for macroeconomic forecasting and structural analysis. Until recently, however…
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Highly Cited
2013
Highly Cited
2013
A direct estimation of high dimensional stationary vector autoregressions
Fang Han
,
Huanran Lu
,
Han Liu
Journal of machine learning research
2013
Corpus ID: 5007727
The vector autoregressive (VAR) model is a powerful tool in learning complex time series and has been exploited in many elds. The…
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Highly Cited
2011
Highly Cited
2011
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
2011
Corpus ID: 263083499
2008
2008
Measuring the Impact of Asset Price Booms Using Quantile Vector Autoregressions
Stephen G. Cecchetti
,
Hong Li
2008
Corpus ID: 37149450
In analyzing the macroeconomic impact of asset price booms and crashes, it is the disasters that really matter. This emphasis…
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Highly Cited
2007
Highly Cited
2007
Spatial Vector Autoregressions
M. Beenstock
,
D. Felsenstein
2007
Corpus ID: 122636678
Abstract A spatial vector autoregressive model (SpVAR) is defined as a VAR which includes spatial as well as temporal lags among…
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Highly Cited
2004
Highly Cited
2004
Cointegration analysis of German and British tourism demand for Greece
N. Dritsakis
2004
Corpus ID: 154105509
Highly Cited
2003
Highly Cited
2003
Searching for the Causal Structure of a Vector Autoregression
K. Hoover
,
Selva Demiralp
2003
Corpus ID: 16111786
Vector autoregressions (VARs) are economically interpretable only when identified by being transformed into a structural form…
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Highly Cited
2000
Highly Cited
2000
Constructing and estimating a realistic optimizing model of monetary policy
Jinill Kim
2000
Corpus ID: 153888718
Highly Cited
1991
Highly Cited
1991
New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression
W. Charemza
,
D. Deadman
1991
Corpus ID: 153288742
This work on econometrics offers an analysis of econometric practice, encompassing recent modelling methodology and PC-GIVE. It…
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Highly Cited
1991
Highly Cited
1991
Vector autoregression and causality
Hiro Y. Toda
,
P. Phillips
1991
Corpus ID: 118120853
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector autoregression (VAR's) and…
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