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What is Vector Autoregressive Model (VAR)

Chapter 376
Encyclopedia of Information Science and Technology, Third Edition
A statistical/econometric model used to represent the linear law of motion for a state vector composed of several variables. In particular, it allows exploring the dependent dynamic relationships among the variables within the system.
Published in Chapter:
Modeling Stock Market Industrial Sectors as Dynamic Systems and Forecasting
Salim Lahmiri (ESCA School of Management, Morocco & University of Quebec at Montreal, Canada)
Copyright: © 2015 |Pages: 13
DOI: 10.4018/978-1-4666-5888-2.ch376
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