Sammenlign metoder

	Vektorautoregression (VAR)	ARMA-model (Autoregressiv glidende gennemsnit)
Fagområde	Økonometri	Økonometri
Familie	Regression model	Regression model
Oprindelsesår	1980	1970
Ophavsperson	Christopher A. Sims	George E. P. Box and Gwilym M. Jenkins
Type	Multivariate time-series model	Time series model
Oprindelig kilde	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.
Aliasser	VAR, VAR model, vector autoregressive model, multivariate autoregression	ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)
Relaterede	5	5
Resumé	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.	The ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting.