A Vector Autoregression A $k$ Time Series Regressions, in Which the Regressors Are Lagged Values

question 34

Short Answer

A vector autoregression a. is the ADL model with an AR process in the error term.
b. is the same as a univariate autoregression.
c. is a set of $k$ time series regressions, in which the regressors are lagged values of all $k$ series.
d. involves errors that are autocorrelated but can be written in vector format.

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Definitions:

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