Multivariate, classic econometric models

The Minnesota BVAR is a Bayesian VAR model with a prior developed by Litterman and Sims at the University of Minnesota. Similar to how a penalized model…

The steady-state prior for a vector autoregressive (VAR) model makes it possible to incorporate prior information about the long-run average of economic time…

The convention of using a multiple time series model with constant parameters and assuming that the indicators in the model are hit with shocks of equal sizes…

Vector Auto Regression is a model that captures the linear relations among multiple time series. VAR models generalize the univariate autoregressive model (AR…

Vector Error Correction Models are especially useful for data sets with long-run relationships (also called cointegration). VECMs are however useful for…

In the statistical analysis of time series, Auto-Regressive–Moving-Average (ARMA) models provide a description of the relationships between the variables in…

Auto-Regressive Distributed Lag was the standard model before the VAR model was invented. Compared to the VAR, it’s a less complex model, where the variables…