Qu'est-ce que « Vector autoregression » ?

A vector autoregression of order $p$, VAR($p$), models a $k$-vector as $Y_t = c + \sum_{i=1}^pA_iY_{t-i} + \varepsilon_t$ with $\varepsilon_t$ white noise of covariance $\Sigma$ (Sims, 1980). Each equation is estimated by least squares on the same regressors.