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.

Question

Quizplus · Accepted Answer

A vector autoregression involves a set of k time series regressions, in which the regressors are lagged values of all k series.

A Vector Autoregression