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向量自回归预测法
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向量自回归预测法
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向量自回归预测法
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vector autoregressive model
向量自回归预测法
采用多方程联立的形式,在模型的每一个方程中,内生变量对模型的全部内生变量的滞后值进行回归,进而估计全部内生变量的动态关系的预测法。是单变量AR模型向多变量的推广,简称为VAR模型。
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