Vector Autoregressive Models

By Helmut Lütkepohl. International Encyclopedia of Statistical Science, 2011

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Causal Inference by Independent Component Analysis: Theory and Applications* (2013, unknown): “…able to 1The Wold representation is possible under the condition of stability, i.e. if det(IK −A1z − . . .−Apzp) 6= 0 for all z ∈ R such that |z| ≤ 1 (see Lütkepohl, 2006). distinguish between the model of Figure 1 and that given by B = ( 0 0 0.4 0 ) Γ1 = ( 0 0.15 0.2 0.24 ) Σε = ( 1.25 0 0…”
The relationship between real GDP, CO2 emissions, and energy use in the GCC countries: A time series approach (2016, methodology): “Therefore, we follow the approach by Reinsel and Ahn (1992), who suggest multiplying the Johansen trace statistics with the scale factor N/(N-pk), where N is the number of observation, k is the number of variables, and p is the lag parameter in the estimated VAR system.”
GeoMAN: Multi-level Attention Networks for Geo-sensory Time Series Prediction (2018, background): “(cid:15) VAR [Ziv, 2006]: Vector Auto-Regressive can capture the pairwise relationships among all sensors with very high computational costs due to massive parameters.”