The Vector AutoRegressive (VAR) Model is a popular model for the analysis of a multivariate time series. It allows to investigate the impact changes in one time series have on other ones. A drawback of the VAR is the risk of overparametrization because the number of parameters increases quadratically with the number of included time series. This...
Creator:
Croux, Christophe (EDHEC Business School)
Created:
2018-02-21
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.