"VAR" stands for *vector auto-regression*, which is a multiple time-series model / method. VAR is common in econometrics, & allows each time-series to be modeled based on its own previous values, & also the previous values of each of the other series, simultaneously. Thus, the series are given equal ...

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Forecast Error Variance Decomposition with restricted VAR model

For conducting Forecast Error Variance Decomposition (FEVD) on a restricted VAR model I use the fevd method in the package vars ...
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Connection between discrete VAR(1) model and simple discrete Markov Chain

I have studied both Markov chains and Vector Autoregressive Models, and I am interested in the connections between the following models: Markov Chain: $$X_{t+1}=T*X_{t}$$ Where X is a vector ...
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10 views

lag length selection in Vector Error Correction Models

I am doing a VECM analysis in R using vars R package. My problem is to find the lag length of the VECM model to be specified. I a previous post I was suggested to use the VARSelect function. However I ...
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22 views

Vector autoregression (VAR)

In a VAR I use two price-variables which are co- integrated. Is that a problem, the literature is somewhat mixed? With three lags there are no problems with serial correlation between them ...
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1answer
21 views

Prediction in VAR models

I am currently developing a Vector Autoregressive Model, and I have the model fully specified as follows: $$X_t=AX_{t-1} +Z_t$$ where $X$ and $Z$ are $n \times 1$ column vectors, and $A$ is an ...
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15 views

Custom Impulse Response Functions for VAR

I am working on a VAR model for the Safe Assets in the U.S. economy. The demand for Safe Assets has increased as needs to pledge them as collateral, or the response after the '08 crisis has been risk ...
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49 views

Vector Autoregression - Model Selection in R

I have 50 time series and I'd like to form a VAR equation for each of the time series. I'm looking for a method to find the best subset required for each time series VAR equation. For instance only ...
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49 views

How many times can one difference time series data? [closed]

I am going to work on the impact of taxation on economic growth and I want to use VAR model and Stata software. What I want to ask is I have three types of taxes in my country, direct domestic tax, ...
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1answer
21 views

How could I use VAR model for nonstationary series?

I have five independent variables: oil (stationary at level), f (stationary at level), k ...
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84 views

Timeseries Analysis

I have the weekly time series data from 2011 to 2014 with 6 variables(Gross_Revenue,Attendence,Enrollmentcount etc..) and its having seasonality.I want forecast the Gross_Revnue for 2015 1st 15 weeks ...
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32 views

Why is GARCH better?

I estimated Value at Risk of a portfolio using 10 years of daily data. The values of VaR I got by three methods is: ...
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39 views

Selecting an appropriate VAR model

I would like to receive critical comments on an idea explained below. Suppose I have variables $x_1$ through $x_K$, and this is a time series setting. My aim is to forecast variable $x_1$. I know ...
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31 views

Are VAR and VEC models theoretically neutral?

I have recently been introduced to Vector Autoregression (VAR) and Vector Error Correction (VEC) models in an Econometrics class, where both approaches were presented as a neutral way to test economic ...
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VAR model for price forecasting in multiple time-series context. How to get “real figures” as forecasts?

Sorry for the rather long introduction, but since I was (legitimately) critizised for not explaining my cause and questions enough, I will do so now. I would like to conduct a (price)-forecast based ...
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48 views

What does the Argument “type” in VAR() - function do?

Right now I am working with vector autoregressive models in order to make 3 months forecasts for a commodity good (sawlogs) y. I have several time-series of "follow-up-products" of sawlogs that should ...
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15 views

lag length selection for VAR

to estimate the VAR on which i then do the trace and max tests of cointegration, I use 4 different information criteria to decide how many lags. However, when testing the residuals, none of the lag ...
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29 views

How many lags for johansen and vecm model?

I want to use VECM model for return as dependent variable and I have 5 variables as independent; my data is monthly ...and my questions are: How could I know if I should use linear or non linear for ...
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77 views

Understanding / Interpreting VARselect function in R

Atm I am playing around with VAR-Models and I was asking myself how to properly use the VARselect function. My question is the following: What should I give R as y? In the Help it just states "Data ...
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65 views

Fit a VAR model with R

I have a bivariate time series z_t where z_1t is the change in monthly US treasury bills (maturity 3 months) and z_2t the inflation rate,in percentage, of the U.S. monthly consumer price index ...
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32 views

Time series forecasting with multiple series with constraints

Hello and thanks in advance. I am using ARIMA or VAR models to forecast sales revenue. Suppose I have three different time series in each of three categories (making 9 series in total). The first ...
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44 views

What is the source of nonstationarity in this VAR model?

I am trying to forecast a VAR model, which consists out of 5 variables with a monthly frequency. The problem is that the VAR model produces an unstable forecast and I am not sure what the source of ...
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19 views

VaR using GARCH

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30 views

What's the deal with VARs?

I'm new to econometrics/statistics. Why are Vector Autoregressive (VAR) equations considered a separate class of models in textbooks, apart from ARs? Isn't it true that you can estimate the equations ...
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1answer
48 views

Maximum lag length in cointegration?

I've got two conflicting answers when I search the internet for my question. Since cointegration is sensitive to maximum lag length, it is important to choose maximum lag length wisely. According to ...
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1answer
39 views

Does the average of the square roots of random variables mean anything?

I recently made a plot for work that used a signed square-root scale on the $y$ axis, for visual clarity. The $y$ observations are impulse response functions (IRF) of vector autoregressions computed ...
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Restriction matrix for a VAR

In New Introduction to Multiple Time Series Analysis by Luetkepohl (2005), section 5.2.1, it says that one can specify linear restraints for a VAR, $Y = \beta X + U$, in the form $$ ...
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192 views

VAR and Granger causality test

Is it necessary to calculate VAR before Granger causality test so that we can have the lag length to be used in Granger causality test
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74 views

Effective Sample Size for posterior

I am trying to implement unsuccessfully a function in matlab, to compute the effective sample size after a MCMC chain, with a posterior with 3 coefficients. Source: Sims MCMC $ VAR(1) / Y_t=\mu ...
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130 views

Guides to VARMA modelling in R

I'm looking at using a VARMA model to both determine the driver so value in some advertising campaigns and also to forecast future activity. I'm looking at the paper by Takada and Bass as a reference ...
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64 views

Granger Causality test with dummy variables

I intend to assess Granger Causality between three endogenous variables, where one of these variables is a dummy variable, indicating specific events during the continuous time frame. I was ...
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22 views

Holtz-eakin, Whitney, Rosen Panel VAR

I'm trying to write a bit if R code to run the estimator in "Estimating Vector Autoregressions with Panel Data" Econometrica 56-6 (1988). I'm stuck on equation (3.12) I feel like $Z_{ir}$ and ...
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References suggested for multivariate analysis of several similar time series

I have a time series dataset that reports the hourly page views and social media shares of online news stories. What I hope to obtain is the relationship between the two variables. I would imagine ...
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25 views

VAR model and forecasting

I worked on obtaining a stable vector autoregression (VAR) model for my dataset consisting of 3 different dependent variables. Then I tried to forecast each of the variables. As I looked at the ...
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27 views

Interaction in time series analysis

I have three different physiological variables--heart rate, respiratory rate and blood oxygen saturation, each as a time series. I am trying to study the interaction between the variables as they ...
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Comparing IRFs derived from Bayesian VARs with other extraneous information

I was wondering if anyone here could help me with the following: I estimate a standard Bayesian VAR with Normal-Inverse Wishart priors. I identify some policy shock in it, and then derive the IRF for ...
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162 views

Outlier treatment in Vector Autoregression (VAR) Model using vars package in r

I have the same problem as the following post, but I have more samples and the index of the outlier is known. Outlier treatment in Vector Autoregression (VAR) Model I tried deleting the outliers; ...
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How to analyze multiple variable time series - suggest references

I have multiple environmental time series variables (for example: temperature, dissolved oxygen, conductivity, depth) measured every few minutes for several months. The variables are measured at ...
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25 views

Postestimation results after VAR analysis show autocorrelation in residuals

I'm performing a VAR analysis on news effects and S&P500 returns. Now, I specified the number of lags (5) according to Schwarze's Bayesian Information Criterion (SBIC) and ran some postestimation ...
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Should I log transform my volatility variable?

I'm wondering if my volatility factor is specified correctly. My data consists of log returns on the S&P 500 index, a measure of news sentiment, and a newscount variable (# of articles published ...
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39 views

What is the difference between vector error correction model and UVECM?

What is the difference between vector error correction model and UVECM? Which one is better to use for a 30 years time series data (to study long term and short term relationship) which has some ...
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Initial Parameters for VARMA models?

I want to estimate parameters of VARMA model using maximum likelihood estimation using real data. The problem I face with is that I don't know how to set the initial values for the parameters. I ...
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182 views

Autocorrelation tests for time series VAR models

I have a VAR model in which I regress the monthly unemployment rate on itself lagged one month, the monthly GDP percent growth lagged by two months and two dummy variables. I am trying to test for the ...
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VAR model with zero coefficients

ll, I'm working with a bivariate time series $(X_{t},Y_{t})$. Looking at the two time series separately, $X_{t}$ appears to be white noise. This is supported by looking at the empirical ACF and PACF ...
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Understanding vec2var conversion in R

I'm using Bernhard Pfaff's packages {urca} and {vars} to analyze 3 time series. Each is I(1) and cointegrated with $r =2$ cointegrating relationships. The vec2var() command should make the ...
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84 views

how to do conditional forecasting with cointegration model?

I'm confused about multistep forecasting from VECM model for 2 cointegrated series. The model is pretty simple, in error-correction form: $$ \Delta x_{t+1} = \alpha_1 (y_t - \beta x_t -\beta_0) ...
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22 views

Construct matrix of stacked variables in VAR regression

I am trying to NOT use packages for the estimation of models in order to have a deeper understanding of how things work. Currently, I am trying to estimate a VAR(1) (vector autoregression of first ...
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74 views

SVAR Model with Short run restrictions

I am currently working on implementing SVAR model in an economic analysis. I have 10 variables in my analysis and currently struggling to incorporate the short run ...
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29 views

Estimating the parameters of a model, which method should I use?

I am trying to estimate a system of macroeconomic (simultaneous) equations, and I've learned about the 'existence' of various methods including Structural Equation Models, Simultaneous Equations ...
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45 views

Long Run VAR alpha and beta significance levels

I am using a VAR with 2 variables and 4 lags. I am combining the coefficients of these variables to get an overall alpha and beta value for in the form $Y = \alpha + \beta X$. In order to get the long ...
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74 views

VAR / VEC in levels or difference depending on Cointegration

Thanks in advance. I have four I(1) variables I'm trying to model by VAR/VEC. I know that it is only okay to model non-stationary variables in levels only if they are cointegrated. What I would ...