A vector autoregression (VAR) model is a system of simultaneous linear equations that describes the evolution of multiple stationary response series. Equations in the system are functions of constants, time trends, lagged responses, and exogenous predictor variables. For an example of an analysis using VAR modeling tools, see VAR Model Case Study.
To convert your VAR model analysis code from using vgx functions to using the varm object and its object functions, see Convert from vgx Functions to Model Objects.
Create and Adjust VAR Model Using Shorthand Syntax
This example shows how to create a three-dimensional VAR(4) model with unknown parameters using varm and the shorthand syntax.
Create and Adjust VAR Model Using Longhand Syntax
This example shows how to create a three-dimensional VAR(4) model with unknown parameters using varm and the longhand syntax.
Vector Autoregression (VAR) Model Creation
Represent a vector autoregression (VAR) model using a varm object.
Vector Autoregression (VAR) Models
Learn the characteristics of vector autoregression models and how to create them.
Convert from vgx Functions to Model Objects
Convert common tasks that use the vgx functions to the newer functionality.
Multivariate Time Series Data Formats
Prepare your data for a multivariate time series analysis.
Fit VAR models to data.
Fit VAR Model to Simulated Data
Simulate data from a known VAR model, then fit a VAR model to the simulated data.
Fit VAR Model of CPI and Unemployment Rate
Estimate a VAR model composed of the consumer price index and unemployment rate.
Implement Seemingly Unrelated Regression
Include exogenous predictors in a VAR model to estimate a regression component along with all other parameters.
Estimate Capital Asset Pricing Model Using SUR
Implement the capital asset pricing model (CAPM) using the Econometrics Toolbox™ VAR model framework.
Analyze a VAR model.
Generate VAR Model Impulse Responses
Generate impulse responses of an interest rate shock on real GDP.
Compare Generalized and Orthogonalized Impulse Response Functions
Demonstrate differences between orthogonal and generalized impulse response functions.
Convert VARMA Model to VAR Model
Create a VARMA model, and then convert it to a pure VAR model.
VAR Model Forecasting, Simulation, and Analysis
Use models to extrapolate the behavior of time series.
Simulate VAR Model Conditional Responses
Forecast CPI growth rates given known values of the unemployment rate using Monte Carlo simulation.
Simulate Responses Using filter
Reproduce the results of simulate using filter.
Simulate Responses of Estimated VARX Model
Estimate a multivariate time series model that contains lagged endogenous and exogenous variables and simulate responses.
Forecast VAR Model Using Monte Carlo Simulation
Generate forecasts from a VAR model using Monte Carlo simulation.
Generate forecasts with error estimates.
Forecast VAR Model Using Monte Carlo Simulation
Generate forecasts from a VAR model using Monte Carlo simulation.
Forecast VAR Model Conditional Responses
Forecast responses given contemporaneous information about other response values in the forecast horizon.