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	Bayesiansk ARMA-modell	Vektorautoregression (VAR)
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	1970s–1980s	1980
Upphovsperson	Box & Jenkins (classical ARMA); Bayesian treatment developed through work of Zellner, Geweke, and others in 1970s–1980s	Christopher A. Sims
Typ	Bayesian time series model	Multivariate time-series model
Ursprungskälla	Geweke, J., & Meese, R. (1981). Estimating regression models of finite but unknown order. International Economic Review, 22(1), 55–70.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Alias	Bayesian ARMA, B-ARMA, Bayesian autoregressive moving average, ARMA with Bayesian inference	VAR, VAR model, vector autoregressive model, multivariate autoregression
Närliggande	6	5
Sammanfattning	The Bayesian ARMA model applies Bayesian inference to the classical autoregressive moving average framework for stationary univariate time series. Rather than producing single point estimates for the AR and MA parameters, it yields full posterior distributions, naturally incorporating prior knowledge and providing coherent uncertainty quantification over forecasts and impulse responses.	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.