Talk:Vector autoregression

message: I think someone has deleted the annex for the concise matrix notation under the Estimation section last month. It reads "Starting from the concise matrix notation (for details see this annex): XXX"   I believe there used to be link to a separate wikipedia page under that annex that describes carefully how to write the VAR(p) in a concise matrix form to do estimation. That page, though not perfectly written, is EXTREMELY helpful. My friends in academia and industry frequently consult that page for research and learning purposes. Therefore that page, in this humble opinion, should be brought back. 
The thing is that I believe there is ambiguity and a poor example in the "Concise Matrix Notation" section. The example there is absolutely NOT a concise matrix notation. It is merely an example of VAR with two variables written in a matrix. For concise matrix notation on the other hand, Y and Z should both be matrices that incorporate the entire time series of the variables.
I tried to undo the previous changes and bring back the link to " General matrix notation of a VAR(p)". However I think the original wiki page was deleted unfortunately. Could someone kindly recover it, or perhaps rewrite it to fit into this page?
Thank you so much! Wbtdave (talk) 05:57, 13 October 2021 (UTC)
thread_title:  An urgent problem that needs to be addressed 

message: A requested article is SVAR, or Structured Vector Autoregression. Is this the same as Structural VAR? It's unclear. Thanks. — RJH (talk) 22:19, 19 December 2006 (UTC)
replies: text: Same thing (although the usual form is structural, as in structural model). You could make a redirect for the moment AdamSmithee 09:24, 20 December 2006 (UTC)

text: I've authored a method for computing Structural VAR coefficient matrices using Cholesky decomposition here: http://arxiv.org/abs/1309.6290, and corresponding MATLAB code in http://www.mathworks.it/matlabcentral/fileexchange/44106-large-inverse-cholesky. Please include this information if you think it adds value Aravindh Krishnamoorthy (talk) 15:15, 10 January 2014 (UTC)
thread_title: Structured versus Structural

message: with method of moments, Yule Walker equations??? Jackzhp (talk) 03:26, 30 May 2011 (UTC)
thread_title: estimation

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*Reference 2: Dees, Stephane & Pesaran, Hashem & Smith, Vanessa & Smith, Ron P., 2010. "Supply, demand and monetary policy shocks in a multi-country New Keynesian Model," Working Paper Series 1239, European Central Bank.
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*Reference 2: Helmut Lutkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
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*Reference 2: Dees, Stephane & Saint-Guilhem, Arthur, 2009. "The role of the United States in the global economy and its evolution over time," Working Paper Series 1034, European Central Bank.
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message: The very brief section Vector autoregression#Interpretation of estimated model links to impulse response, but that article doesn't explain how to get the impulse response numerically from an estimated model. So I think that this article should do that. Loraof (talk) 18:33, 1 August 2016 (UTC)
replies: text: I've done it. Loraof (talk) 19:35, 3 August 2016 (UTC)
thread_title:  Impulse response 

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