Comparar métodos

	Modelo ARMA (Autoregresivo de Media Móvil)	Vector Autoregression (VAR)
Campo	Econometría	Econometría
Familia	Regression model	Regression model
Año de origen	1970	1980
Autor original	George E. P. Box and Gwilym M. Jenkins	Christopher A. Sims
Tipo	Time series model	Multivariate time-series model
Fuente seminal	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Alias	ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)	VAR, VAR model, vector autoregressive model, multivariate autoregression
Relacionados	5	5
Resumen	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.	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.