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A vector autoregression is where you have a vector of outcomes for each country, $$ y_t = (y_{China,t}, y_{Ghana,t}, y_{Britain,t},...) = a + B'X_t+\varepsilon_t $$ where $X_t$ is data, perhaps containing lagged values of $y_t$, and $\varepsilon_t$ is the error term. The best known and most successful estimation framework for this setting is probably ...

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