Definition: Autoregressive model

Category: Memobust Glossary

Representation of a type of random process; as such, it describes certain time-varying processes. The autoregressive model specifies that the output variable depends linearly on its own previous values (Method: Chow-Lin Method for Temporal Disaggregation).

Econometric model-based upon the autoregressive process but also containing lagged versions of some or all of the endogenous variables considered in the model specification (Method: Preliminary estimates with model-based methods). https://ec.europa.eu/eurostat/cros/content/memobust-glossary-pdf-file_en