Definition: VAR stands for Vector Autoregression, a kind of model of related time series.
In the simplest example, the vector of data points at each time t
(yt) is thought of as a parameter vector (say, phi1) times a
previous value of the data vector, plus a vector of errors about which some
distribution is assumed. Such a model may have autoregression going back
further in time than t-1 too.
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