Concepedia

Vector Autoregressive Models

Vector Autoregressive Models is a multivariate time series model that captures the linear interdependencies among multiple time series by regressing each variable on its own and other variables' lagged values within a unified autoregressive framework.

2.4K

Publications

197.5K

Citations

4.3K

Authors

1.8K

Institutions

Publications per year

2017–2026

836

Variants

Var Models

Parents

Publications

2.4K

Measuring Economic Policy Uncertainty*

Scott Baker, Nicholas Bloom, Steven J. Davis · The Quarterly Journal of Economics · 2016 · 11.9K citations · Full text

, , +9

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Søren Johansen · Econometrica · 1991 · 11.2K citations

, , +14

Statistical inference in vector autoregressions with possibly integrated processes

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

, , +13

Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting · 2011 · 5.5K citations

, , +17

Representation Learning with Contrastive Predictive Coding

Aäron van den Oord, Yazhe Li, Oriol Vinyals · arXiv (Cornell University) · 2018 · 4.5K citations · Full text

, , +16

1–5 of 2.4K

Authors

4.3K

  1. HL
    Helmut Lütkepohl

    Humboldt-Universität zu Berlin, Germany

    46 publications · 7.9K citations

    26

    h-index

  2. RG
    Rangan Gupta

    University of Pretoria, South Africa

    37 publications · 1.4K citations

    23

    h-index

  3. PS
    Pentti Saikkonen

    University of Helsinki, Finland

    25 publications · 1.7K citations

    21

    h-index

  4. SJ
    Søren Johansen

    University of Copenhagen, Denmark

    24 publications · 14.6K citations

    19

    h-index

  5. LK
    Lutz Kilian

    University of Michigan, United States

    14 publications · 2K citations

    14

    h-index

1–5 of 4.3K

Institutions

1.8K

  1. University of Pretoria

    Pretoria, South Africa

    25 h-index

    69 publications

    2.2K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    24 h-index

    43 publications

    27.7K citations

  3. European Central Bank

    Frankfurt am Main, Germany

    23 h-index

    49 publications

    4.2K citations

  4. University of Helsinki

    Helsinki, Finland

    22 h-index

    42 publications

    2.1K citations

  5. Centre for Economic Policy Research

    London, United Kingdom

    21 h-index

    40 publications

    5.3K citations

  6. Federal Reserve

    Washington D.C., United States

    18 h-index

    25 publications

    6.9K citations

  7. Australian National University

    Canberra, Australia

    18 h-index

    35 publications

    1.6K citations

  8. University of Copenhagen

    Copenhagen, Denmark

    18 h-index

    30 publications

    2.7K citations

1–8 of 1.8K

Venues

  1. SSRN Electronic Journal

    Repository · 161 publications · 6K citations

    38

    h-index

  2. Journal of Business and Economic Statistics

    JBES · 53 publications · 9.1K citations

    32

    h-index

  3. Applied Economics

    70 publications · 2.3K citations

    26

    h-index

  4. Journal of Applied Econometrics

    34 publications · 4.9K citations

    25

    h-index

  5. Journal of Forecasting

    38 publications · 1.8K citations

    24

    h-index

1–5