The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Multivariate Time Series Models

  • Christopher A. Sims
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_947

Abstract

The staple of econometrics textbooks, the simultaneous equations model, is a multivariate model; and when the data are time series it becomes a multivariate time series model. John Geweke (1978) laid out the connection of the notation and standard assumptions of simultaneous equations modelling to the corresponding concepts in the theory of vector stochastic processes. Multivariate time series modelling of economic data is none the less a topic distinct from simultaneous equations modelling. We go on to discuss why such a distinction exists, the nature of it, and the prospects for making it less sharp.

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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Christopher A. Sims
    • 1
  1. 1.