What is the Vector Autoregressive (VAR) Model

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Why model only one time series at a time? We can do multivariate time series modeling with the vector autoregressive (VAR) model. Here is a video of what that is... in under 5 minutes!
  1. Aric LaBarr
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Комментарии
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This has to be the most entertaining overview of vector autoregression ive seen. Amazing!!

EconJohnTutor
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I wish you do video lectures on ANY topic ... great non-monotonous voice that never lets me sleep :) I get general ideas very well from your videos.

mudassarm
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"Right?" "Don't answer that", brings me back all the memory at IAA!!

jingzhao
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Wow in only 5 minutes! that deserves a huge like !!!

statistics
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The VARMA(p, q) formula at 3:40 seems wrong. Shouldn't the coefficient matrices A and B be different for each lag? So A(i), B(j) instead of A1, B1?

beelzebub
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thank you, hope more video about these topics, do you have AR and MA model ?

TÔMTIÊNYÊN
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Very interesting, thanks for this video. I have just one question, about how you explain at the end of the video, why a VAR model have more parameters to estimate compared to a VARM model, in case of multivariate analysis? VARM model need to estimate autoregressive and moving average parameters, VAR only autoregressive. From the example you have done in the video is not so clear, could you explain please?

Francesco-xtvm
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Hey there. Thanks for your explanation. I am not clear on how you came about 320 parameters for AR(12). I counted 300 coefficients (60 for each eqn) and 5 constants.

stanleynwanekezie
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Looking forward to the Baysian part :)

RinoLovreglio
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Could you please post a video about SVAR model? Thanks!!!

bellayao
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Hi, quick question ... What if instead of y1, y2, etc being target variables they were just observations of the same variable? How would you set up a model in that case? Thanks

HadiAhmed
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Ok, you lost me there in the end. I don't have enough RAM between my ears and my brain hit a memory overflow condition...

lashlarue