Which of the following statements correctly identifies the difference between an autoregressive model and a vector autoregressive model?
A)In an autoregressive model,the dependent variable is expressed as a function of its own lag,whereas in a vector autoregressive model,the dependent variable is expressed as a function of the lag of an explanatory variable.
B)In an autoregressive model,the dependent variable is expressed as a function of the lag of an explanatory variable,whereas in a vector autoregressive model,the dependent variable is expressed as a function of its own lag.
C)In an autoregressive model several series are modelled in terms of their own past,whereas in a vector autoregressive model only one series is modelled in terms of its own past.
D)In an autoregressive model one series is modelled in terms of its own past,whereas in a vector autoregressive model several series are modelled in terms of their past.

Question

Quizplus · Accepted Answer

An autoregressive model models a single time series based on its own past values, while a vector autoregressive model extends this concept to multiple time series, modeling each series based on its own past values and the past values of other series.

Which of the Following Statements Correctly Identifies the Difference Between