Which of these statements is true about vector autoregressive models?
(I) They allow the value of a variable to depend on more than just its own lags
(II) All variables are endogenous
(III) The researcher does not need to specify which variables are endogenous or exogenous
(IV) All variables are exogenous
A) I only
B) I and II only
C) I, II and III only
D) I, II, III and IV

Question

Quizplus · Accepted Answer

Vector autoregressive (VAR) models allow each variable in the system to depend on its own past values (lags) and the past values of all other variables in the system, making all variables endogenously determined within the model. This means the researcher does not need to specify which variables are endogenous or exogenous, as the model treats all variables as endogenous.

Which of These Statements Is True About Vector Autoregressive Models