linguistic:voice_change
Definition

A VAR model describes the evolution of a set of k variables, called endogenous variables, over time. Each period of time is numbered, t = 1,..., T. The variables are collected in a vector, y, which is of length k. (Equivalently, this vector might be described as a (k × 1)- matrix.) The vector is modelled as a linear function of its previous value. The vector's components are referred to as y, meaning the observation at time t of the i th variable. For example, if the first variable in the model measures the price of wheat over time, then y would indicate the price of wheat in the year 1998.