A statistical model that assumes that the value of a variable at any date depends on its own past values, plus the past values of other variables, plus an error term is known as a
A)vector autoregression (VAR) model.
B)univariate time-series model.
C)structural VAR model.
D)structural equilibrium model.

Question

Quizplus · Accepted Answer

A VAR model assumes that each variable in the system is a function of its own past values, the past values of other variables in the system, and an error term. This makes it a suitable model for analyzing time-series data where variables are interdependent. Univariate time-series models only consider the past values of a single variable, while structural VAR models incorporate additional information about the economic structure of the system. A structural equilibrium model is also a type of econometric model that accounts for endogenous relationships between variables, but it does not specifically focus on time-series data.

A Statistical Model That Assumes That the Value of a Variable