General matrix notation of a VAR(p)

separate page
This page shows the details for different matrix notations of a vector autoregression process with k variables.wikipedia
4 Related Articles

Vector autoregression

VARvector autoregressive modelstructural VAR estimation
This page shows the details for different matrix notations of a vector autoregression process with k variables.
Details of the matrices are in a separate page.

Ordinary least squares

OLSleast squaresOrdinary least squares regression
One can then solve for the coefficient matrix B (e.g. using an ordinary least squares estimation of ).

Variance decomposition of forecast errors

Variance decompositionforecast error variance decompositions
This can be changed to a VAR(1) structure by writing it in companion form (see general matrix notation of a VAR(p))