Advanced Monetary Economics Notes on VAR modelling for monetary policy analysis
نویسنده
چکیده
Univariate autoregressive (AR) models can be extended to the multivariate case to study dynamic interrelationships among several variables, all viewed as endogenous. The resulting vector autoregression (V AR) models describe the evolution over time of a vector of n variables yt = (y1t y2t...ynt)0 as a function of its past realizations yt−1,yt−2, ... and a vector of stochastic terms ut = (u1t u2t...unt) 0. A V AR model with p lags of the endogenous variables in yt is called V AR(p) and has the following general form:
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