Vector autoregression

Known as: Structural VAR, Structural vector autoregression, Vector autoregressive model 
Vector auto regression (VAR) is an econometric model used to capture the linear inter dependencies among multiple time series. VAR models generalize… (More)
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Papers overview

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2016
2016
A spatio-temporal method for producing very-short-term parametric probabilistic wind power forecasts at a large number of… (More)
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2014
2014
The vector autoregression (VAR), has long proven to be an effective method for modeling the joint dynamics of macroeconomic time… (More)
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Highly Cited
2010
Highly Cited
2010
Analysis of causal effects between continuous-valued vari ables typically uses either autoregressive models or structural… (More)
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Highly Cited
2009
Highly Cited
2009
This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two… (More)
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2009
2009
In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non… (More)
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Highly Cited
2007
Highly Cited
2007
Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic general… (More)
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Highly Cited
2004
Highly Cited
2004
This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri… (More)
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Highly Cited
2003
Highly Cited
2003
of Searching for the Causal Structure of a Vector Autoregression Vector autoregressions (VARs) are economically interpretable… (More)
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Highly Cited
2001
Highly Cited
2001
There is interest in economics, finance, and econometrics in the solutions to functional equations where the arguments of the… (More)
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Highly Cited
1999
Highly Cited
1999
  • Andrew Anga, Monika Piazzesib
  • 1999
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying… (More)
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