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| Autoregresja Wektorowa (VAR)× | Model ARMA (Autoregresyjny Model Średniej Ruchomej)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1980 | 1970 |
| Twórca≠ | Christopher A. Sims | George E. P. Box and Gwilym M. Jenkins |
| Typ≠ | Multivariate time-series model | Time series model |
| Źródło pierwotne≠ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| Inne nazwy | VAR, VAR model, vector autoregressive model, multivariate autoregression | ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q) |
| Pokrewne | 5 | 5 |
| Podsumowanie≠ | 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. |
| ScholarGateZbiór danych ↗ |
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