Vector Autoregression

Vector Autoregression (VAR) is a statistical model used to analyze and forecast multiple related time series data simultaneously. It captures how each variable’s current value depends on its own past values and the past values of other variables. For example, in economics, VAR can model how interest rates, inflation, and GDP influence each other over time. By understanding these relationships, VAR helps predict future trends and assess how shocks or changes in one variable might affect others, making it a valuable tool for analyzing complex systems with interconnected factors.