Concepedia

Vector Autoregression

Vector Autoregression is a multivariate time series model that extends the univariate autoregressive framework by capturing the linear interdependencies among multiple time series through a system of equations in which each variable is regressed on its own lagged values and the lagged values of all other variables in the system.

2.1K

Publications

179.9K

Citations

3.6K

Authors

1.7K

Institutions

Publications per year

2017–2026

716

Variants

VarVar ModelsVarsVector Autoregression Models

Parents

Publications

2.1K

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

, , +9

Statistical inference in vector autoregressions with possibly integrated processes

Hiro Y. Toda, Taku Yamamoto · Journal of Econometrics · 1995 · 5.9K citations

, , +13

Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach

Frank Smets, Rafael Wouters · American Economic Review · 2007 · 4.7K citations

, , +17

Time Varying Structural Vector Autoregressions and Monetary Policy

Giorgio E. Primiceri · The Review of Economic Studies · 2005 · 2.9K citations

, , +16

Inference in Linear Time Series Models with some Unit Roots

Christopher A. Sims, James H. Stock, Mark W. Watson · Econometrica · 1990 · 2.6K citations

, , +10

1–5 of 2.1K

Authors

3.6K

  1. DA
    David A. Bessler

    Texas A&M University, United States

    16 publications · 691 citations

    14

    h-index

  2. HL
    Helmut Lütkepohl

    Humboldt-Universität zu Berlin, Germany

    15 publications · 879 citations

    13

    h-index

  3. RG
    Rangan Gupta

    University of Pretoria, South Africa

    12 publications · 527 citations

    12

    h-index

  4. MM
    Massimiliano Marcellino

    Bocconi University, Italy

    12 publications · 573 citations

    11

    h-index

  5. MH
    M. Hashem Pesaran

    University of Southern California, United States

    11 publications · 1.1K citations

    11

    h-index

1–5 of 3.6K

Institutions

1.7K

  1. European Central Bank

    Frankfurt am Main, Germany

    33 h-index

    75 publications

    13.3K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    31 h-index

    68 publications

    14.6K citations

  3. International Monetary Fund

    Washington D.C., United States

    27 h-index

    75 publications

    2.7K citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    23 h-index

    46 publications

    5.6K citations

  5. Federal Reserve

    Washington D.C., United States

    22 h-index

    43 publications

    7.5K citations

  6. Australian National University

    Canberra, Australia

    18 h-index

    46 publications

    1.8K citations

  7. Texas A&M University

    College Station, United States

    18 h-index

    38 publications

    4.3K citations

  8. Federal Reserve Board of Governors

    Washington D.C., United States

    17 h-index

    31 publications

    3.9K citations

1–8 of 1.7K

Venues

  1. SSRN Electronic Journal

    Repository · 196 publications · 9.2K citations

    39

    h-index

  2. RePEc: Research Papers in Economics

    Repository · 74 publications · 3.5K citations

    29

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 45 publications · 4.8K citations

    28

    h-index

  4. Applied Economics

    58 publications · 2.7K citations

    27

    h-index

  5. Journal of Econometrics

    31 publications · 7.8K citations

    23

    h-index

1–5