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单词 Structural VAR
释义

Structural VAR

中文百科

矢量自回归模型 Vector autoregression

(重定向自Structural VAR)

矢量自回归模型英语:Vector Autoregression model,简称VAR模型)是一种常用的计量经济模型,由计量经济学家和宏观经济学家克里斯托弗·西姆斯(英语:Christopher Sims)提出。它扩充了只能使用一个变量的自回归模型(简称:AR模型),使容纳大于1个变量,因此经常用在多变量时间串行模型的分析上。

英语百科

Vector autoregression 向量自回归模型

(重定向自Structural VAR)

The vector autoregression (VAR) is an econometric model used to capture the linear interdependencies among multiple time series. VAR models generalize the univariate autoregressive model (AR model) by allowing for more than one evolving variable. All variables in a VAR are treated symmetrically in a structural sense (although the estimated quantitative response coefficients will not in general be the same); each variable has an equation explaining its evolution based on its own lags and the lags of the other model variables. VAR modeling does not require as much knowledge about the forces influencing a variable as do structural models with simultaneous equations: The only prior knowledge required is a list of variables which can be hypothesized to affect each other intertemporally.

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