VAR: vector autoregression model

 VAR model

https://en.wikipedia.org/wiki/Vector_autoregression

A VAR model include a set of $k$ variables. 

"VAR models are characterized by their order, which refers to the number of earlier time periods the model will use. Continuing the above example, a 5th-order VAR would model each year's wheat price as a linear combination of the last five years of wheat prices. A lag is the value of a variable in a previous time period. So in general a pth-order VAR refers to a VAR model which includes lags for the last p time periods. A pth-order VAR is denoted "VAR(p)" and sometimes called "a VAR with p lags".

"The process of choosing the maximum lag p in the VAR model requires special attention because inference is dependent on correctness of the selected lag order.^[2][3]"