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Questions tagged [var]

Vector Auto-Regression, 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 status.

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VAR, test for normality, autocorrelation and heteroskedasticity- should I use stationary first differences for these tests?

I am checking thhe long-term relationship between unemployment and labor force participation rate. I have a integration order I(1) and I want to run VAR. As far as I understand I need to use first ...
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7 views

Rescaling Linear Impulse Response Functions, Innovations, and Confidence Bands

all. I am using a VAR model to do a bit of analysis. I obtain cumulative (linear) orthogonalized impulse response functions (COIRF). Because I am conducting similar analysis across different time ...
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21 views

Can VAR models capture all frequency interactions reliably and to the same extent?

I would like to assess how a set of ~50-100 time-series variables causally interact with each other. To do this, I am fitting a VAR model and using cross-validation to estimate model-order. After the ...
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32 views

VAR with stationary and non-stationary in R

I'm working on using Granger causality of some variables and I have 4 stationary time series (X1, X2, X3, X4) and one that is not (X5). I've seen here that If (A) then first-difference each of the ...
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16 views

VAR/VEC models: checking stationarity during cross-validation

I am attempting to derive a single multivariate/vector autoregressive (VAR) model from a large dataset (6-minutes sampled at 250Hz in total w/ 50 vars) using cross-validation (CV) to optimize model-...
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14 views

Heteroscedasticity and non-normaility in VAR(3) model

After specifying my VAR model, I run several diagnostic tests. While the serial.test indicates that there is no Autocorrelation, ...
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43 views

Jarque-Bera test for Normality

Which test should I consider if by JB-test result I have heteroscedasticity and by the result of two others no. $JB JB-Test (multivariate) data: Residuals of ...
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21 views

VAR estimation-How to interpret the results?

I have these results when I estimate a VAR with two variables:Growth and Debt and p=2.How to interpret the result for each equation? Thank you. VAR Estimation Results: ...
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39 views

VAR model for a stationary and a nonstationary series

I have a stationary and a non stationary time series. For estimating a VAR model, both time series should be differenced or only the second?
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19 views

Why would I regress a vector on itself in a VAR?

I'm just working through an econometric paper by Bernanke / Blinder http://drphilipshaw.com/Protected/The%20Federal%20Funds%20Rate%20and%20the%20Channels%20of%20Monetary%20Transmission.pdf where in ...
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39 views

Estimating lag order in Granger causality test

I have a weekly revenue from selling products, named Chicken and Egg. I am trying to understand whether purchasing Chicken Granger-causes customers to buy Egg or vice versa. I don't have a Ph.D. in ...
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12 views

Simulating size distrotion with a VAR(1) model

Firstly, I am not asking for code, I would like the intution of how I would do this. I am testing for size distortion. I have estimated and VAR(1) model and I have the parameters. I want to ...
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36 views

Impulse Responses with 68% confidence interval

In my field some papers are published with questionable econometric methodology. The impulse responses are presented with 68% confidence bands only and the conclusion is that the effect is ...
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33 views

How to perform 1 step ahead forecasts with a VAR function [closed]

Say I am given the parameters of a VAR (2) function with two variables. How would I use this information to perform a 1 step ahead forecast? Example of what I would have is... $A_t= 1.5 - 0.5A_{t-1} ...
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23 views

Simulating a VAR(1) model with GARCH(1,1) errors [in MATLAB]

I am currently working on a VAR(1) model simulation, see MATLAB code below ...
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67 views

Impulse response: Interpreting shock and response for log-variables

I have a question related to the interpretation of Impulse Response Function (IRF) functions. Assume we do have two time-series that have been both log-transformed and are stationary. When applying a ...
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15 views

Using a bi- variate Vector Auto-regressive model on 2 assets

I have two assets in a time series with serial auto correlation. I want to find the relationship between them. That is, if Y1 goes to up 10% Y2 should move up 5%. I would also like to know, if Y1 is ...
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35 views

Fitting a multivariate AR(1) with covariates?

I have time series data where my main question of interest is making inference on predictive covariates, and accounting for the correlation (one observation each day) is just a nuisance issue. The ...
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35 views

Uncorrelated errors with the regressor in a reduced form VAR

I have a reduced form VAR $$\begin{equation} y_t = c_o + A y_{t-1} + \epsilon_t \end{equation}$$ Where, $y_t \in \mathbb{R}^2$, $A$ is a $2$X$2$ matrix and $$\begin{equation} E(\epsilon_t \...
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17 views

Interpreting the parameters of VAR model

If I have 26 parameters (coefficients) estimated in my VAR model, how can I interpret them?Is possible? Or I should consider only the results of IRF and Granger - causality test? Thank you very much.
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26 views

How to interprete Granger test results?

The results of my Granger causality test in R are below. VARp is my VAR model and I have two endogenous variables. From the results, I have only instantaneous ...
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34 views

VAR(p) Model Covariances and Moment Equation

I'm currently going through the book Analysis of Financial Time Series by Ruey S. Tsay and reached the following statement (The book can be found here, with VAR(1) included in the preview): Where: $...
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33 views

VAR/VEC model selection

I want to model a relationship between a good's price and a few variables using time-series data. I run VEC/VAR models and get a series of equations. My question is how to use these results (using ...
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48 views

Relation between Vector Auto-regressive models and correlation matrix

I am generating a multivariate time series using Vector Autoregressive Models- $$X(t) = AX(t-1) + \epsilon$$ where $X \in R^{n \times 1}$, $A \in R^{n \times n}$ and $\epsilon \in R^{n \times 1}$ is a ...
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31 views

Pro and cons on multivariate time series approaches

So I am working on a project where I want to forecast how a team will perform in their next match in a number of specific categories (goals scored, time spent in certain parts of the field, passes, ...
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22 views

VAR model residual autocorrelation and variable selection

I have a question on VECM model. I have a set of variables I had planned to include in my VECM model where one particular variable may be trend stationary (@ 10% s.l. by ADF test) while the rest are ...
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26 views

LR test for VAR model selection: p value goes increases and then decreases

I have a question on VAR model using LR test to select the lag lengths. My result is shown below and you can see that LR test rejects lag 4, so seemingly I should use lag 3. But then lag 5 has p-value ...
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15 views

Check structural break on transformation of variables

I want to build a VAR model with three parameters: inflation, unemployment and GDP. I have found these three variables to be non-stationary, hence I took the difference in logs. The difference in logs ...
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95 views

How to handle a structural break in VAR model?

I want to construct a VAR model of three time series: Inflation, GDP growth and Unemployment from 1963 to 2018. I have found a structural break around the year 2007 (2007-2008 financial crisis). I do ...
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18 views

Impulse response for general VAR lag-p model: when does it converge?

Consider the VAR lag-p model: $$Bx_t = \Gamma_0 + \sum_{i=1}^p\Gamma_i x_{t-i} + \epsilon_t,\quad x_t\in\Bbb R^n,\,\forall t\in\Bbb Z$$ Setting $B$ to be upper-triangular and $A_0:=B^{-1}\Gamma_0,\,...
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29 views

Distributional assumption for a VAR model: is normality needed?

Do all variables in a VAR (Vector Autoregressive model) need to be normally distributed? Or there is no restriction about the distributions of the variables in this model (normal or otherwise)?
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VAR(p) models and its application in describing GDP growth

Im currently reading up on Vector Auto Regression models however I cant wrap my head around how you set a model to describe a variable. My goal is it use interest rate, imports and exchange rate to ...
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88 views

Time series analysis VAR model: AIC and BIC test criteria

Consider two variables. Imagine you want to analyse the effects of the lags of variable A on variable B. The possiblity you see an effect of variable A on B is reasonable, but there is absolutely no ...
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28 views

Will VECM handle multiple seasons?

I have two questions: Since VAR (vector autoregression) will not handle seasonality and trend. VECM comes into play which can handle season as well as trend. I had a doubt whether it will handle ...
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43 views

How do we produce exog data in forecasting for vector ARIMA with exogenous data (VARIMAX)?

I'm using stats models state_space VARMAX. I have a model that seems reasonably able to produce a forecast (its not rejecting for stationarity, etc), but I don't want to just give it exogenous data. <...
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21 views

Adjusting the long-run expected value of a variable in a VAR model through the constant term

I am currently trying to fit a VAR model to, amongst other variables, inflation data and want the long run limit of inflation to be 2%, i.e. the ECB target. Say my VAR looks like this: $$ X_t = c + \...
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43 views

Comparing PCA representations between low-pass and high-pass filtered time-series data

I am currently trying to reduce the number of variables I input into a vector autoregressive (VAR) model. For those that don't already know, VAR models are used on time-series data. My primary concern ...
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18 views

Long-term targets of variables in levels for differenced VAR

I am currently trying to estimate a VAR(1) model for some variables including inflation. Lets say the VAR model looks like this: $$ X_t = c + \Pi X_{t-1} + \epsilon_t. $$ In this case we can set long-...
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31 views

State space models with non stationary/unit root factors

state space model , I am trying to implement is as follows $$ Y_t= CY + FF* X_t + Ve_t$$ $$(X_t-m0)= GG (X_{t-1}-m0) +W\eta_t$$ I am enforcing GG to be to be diagonal for the base case. I am getting ...
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How to get Unrestricted VAR option on EViews [closed]

I cant seem to find the unrestricted VAR option as seen from the Video attached (enter link description hereTime Tag 4:17), i followed all the steps as he did however i am unable to get that option. i ...
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8 views

A question about what consititutes a shock in VAR model

I am wondering if I can take a firm specific dummy variable as a shock for a sample of 20,000 firms. For example, can I say let me investigate the impact of having negative net income on the ...
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72 views

VAR model for first differences (not a good idea?)

I have read from couple of slides in the internet that if I have two $I(1)$ processes, it’s not a good idea to simply take the differences and include them in a VAR model, as then one might lose ...
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44 views

Direction of orthogonalization in the `vars` package in R

I could not find anything in the documentation of this package R vignette of vars package or anywhere else on the internet. In case one estimates orthogonalized impulse response functions, the ...
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1answer
31 views

Manipulating primitive form of a VAR model

Given a primitive form of a bivariate VAR(1) below, and correspondingly in a matrix form below. What were the steps involved in manipulating the matrices such that it resulted in this form below as ...
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50 views

Vector Autoregressive Regression in Levels

Various textbooks suggest that it is essential to test the variables used for stationarity before a VAR anaylse. If the tests give an indication of I(1) variables, these variables should be ...
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83 views

Using a single principle component (PC) space to describe how a dataset changes across conditions

Given a design matrix that consists of N (>100) variables and J (>100) observations (the data, itself, is actual time-series): ...
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88 views

Interpreting Accumulated Impulse Response graphs for SVAR Models

I am doing a study similar to this one using Eviews 10 https://researchportal.port.ac.uk/portal/files/189238/Economic_Modelling_GF.pdf except with updated data just for the UK. I have produced ...
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19 views

Which lags to select with a Wald test - Granger-causality

Say I have a VAR of the form $y = y_{t-1} + x_{t-1} + y_{t-2} + x_{t-2}$ When testing a VAR for Granger-causality does one apply the Wald test to the joint significance of all the lagged variables ...
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34 views

Test whether the variance in one group is higher than In another

I have 63 groups of microbes that elicit a specific reaction of the immune system (cell frequency). In each group, there are 3-10 replicates and I want to check in which groups the variance is ...
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Granger Causality: Alternative Hypothesis for VAR

I know that if ALL the coefficients on the lagged values of, say, $y_2$ are $0$ in the equation for $y_1$, then $y_2$ fails to Granger cause $y_1$. Therefore, our null hypothesis for Granger ...