Aric LaBarr

Aric LaBarr

15,800 subscribers

⏱ 👁 58,220 views

What is the Vector Autoregressive (VAR) Model

Video Overview & Insights

Why model only one time series at a time? We can do multivariate time series modeling with the vector autoregressive (VAR) model. Here is a video of what that is... in under 5 minutes!

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I was working 6 hours on VaR analysis in R as my school mini-project to a Multiple reggresion analysis course only to realize VaR is not multiple reggresion method

— @vlastimilpaluska9682

More User Perspectives

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Thanks for this mate, appreciated

@ninjaflamingo5186

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Can you not use an autograd library to calculate the many derivatives like it is done for neural networks to compute gradients automatically?

@ker-balkanrider

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This guy is a very clear explainer. Humor also appreciated given the dry topic.

@abramcz

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would you have some code in R or python of a real case? Also how do we implement that in a panel data?

@RightAIopen

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At 3:37, Shouldn't the subscripts (shown as 1) on the A and B matrices be i, and j, respectively?

@danielwalsh9530

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Sooo good. Thanks a lot!

@sasik1472

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Thank you. Super useful

@NoamBenZeev

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2:30 lmao

@alejndraalmirowitsch4897

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Hey there. Thanks for your explanation. I am not clear on how you came about 320 parameters for AR(12). I counted 300 coefficients (60 for each eqn) and 5 constants.

@stanleynwanekezie5355

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The VARMA(p,q) formula at 3:40 seems wrong. Shouldn't the coefficient matrices A and B be different for each lag? So A(i), B(j) instead of A1, B1?

@beelzebub2808

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thank you, hope more video about these topics, do you have AR and MA model ?

@TÔMTIÊNYÊN

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I wish you do video lectures on ANY topic ... great non-monotonous voice that never lets me sleep :) I get general ideas very well from your videos.

@mudassarm30

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Ok, you lost me there in the end. I don't have enough RAM between my ears and my brain hit a memory overflow condition...

@lashlarue7924

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Very interesting, thanks for this video. I have just one question, about how you explain at the end of the video, why a VAR model have more parameters to estimate compared to a VARM model, in case of multivariate analysis? VARM model need to estimate autoregressive and moving average parameters, VAR only autoregressive. From the example you have done in the video is not so clear, could you explain please?

@Francesco-xt6vm

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This has to be the most entertaining overview of vector autoregression ive seen. Amazing!!

@EconJohnTutor

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Could you please post a video about SVAR model? Thanks!!!

@bellayao2883

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Hi, quick question ... What if instead of y1, y2, etc being target variables they were just observations of the same variable? How would you set up a model in that case? Thanks

@HadiAhmed7546

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😌

@jdizzle1337x

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Wow in only 5 minutes! that deserves a huge like !!!

@statistics5371

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Looking forward to the Baysian part :)

@RinoAndCaroline

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"Right?" "Don't answer that", brings me back all the memory at IAA!!

@jingzhao9802

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Love your videos!!!

@azimuth4850