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Vector auto regression modeling and forecasting
Author(s) -
Holden Ken
Publication year - 1995
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980140302
Subject(s) - econometrics , regression , regression analysis , computer science , machine learning , artificial intelligence , statistics , mathematics
This paper provides an introduction to vector auto regression models, explaining their origins and their use for modeling and forecasting. The recent developments of structural modeling and the treatment of non‐stationary variables are also considered.