Concepedia

Concept

vector autoregression

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1.1K

Publications

145.2K

Citations

2K

Authors

966

Institutions

About

Vector autoregression is a statistical modeling approach used for analyzing and forecasting multiple time series. It characterizes the dynamic relationship among a set of variables by modeling each variable as a linear function of its own past values and the past values of all other variables in the system. This methodology is significant for investigating complex feedback mechanisms, performing impulse response analysis, and generating joint forecasts in multivariate time-series contexts, widely applied in econometrics and related disciplines.

Top Authors

Rankings shown are based on concept H-Index.

HL

Humboldt-Universität zu Berlin

RG

University of Pretoria

RB

Federal Reserve Bank of Minneapolis

RS

University of Chicago

LK

University of Michigan

Top Institutions

Rankings shown are based on concept H-Index.

European Central Bank

Frankfurt am Main, Germany

University of Wisconsin–Madison

Madison, United States

University of Chicago

Chicago, United States