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	Vektorautoregression (VAR)	ARIMA-modell (Autoregressiv Integrerad Glidande Medelvärdesmodell)	ARMA-modell (Autoregressiv glidande medelvärde)	Granger-kausalitetstest
Ämnesområde	Ekonometri	Ekonometri	Ekonometri	Ekonometri
Familj	Regression model	Regression model	Regression model	Regression model
Ursprungsår	1980	1970	1970	1969
Upphovsperson	Christopher A. Sims	George Box and Gwilym Jenkins	George E. P. Box and Gwilym M. Jenkins	Clive W. J. Granger
Typ	Multivariate time-series model	Time series forecasting model	Time series model	Causality test (F-test on VAR)
Ursprungskälla	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.	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
Alias	VAR, VAR model, vector autoregressive model, multivariate autoregression	ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)	ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)	Granger test, GC test, predictive causality test, Granger non-causality test
Närliggande	5	6	5	5
Sammanfattning	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 ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.	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.	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.