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Results tagged with vector-autoregression
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user 262939
Vector Auto-Regression, a multivariate time-series model / method. Under VAR, each univariate time-series is a linear combination of its own previous values and the previous values of the other series.
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Why is R returning NA coefficient-values on dummy variables in VAR-model?
When estimating this VAR-model the returned coefficients on BNP.min4 and INT.min4 are NA, which I do not understand. My intuition is that there should not be any collinearity between these variables. …
- 197
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1
answer
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Optimal lag-selection in VAR-model in R
Having troubles with the lag specification of a VAR-model. The purpose of the model is to measure orthogonal impulse/response function of oil price shocks on macroeconomic variables, such as GDP-growt …
- 197
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What happens when we model outliers as dummy's in a VAR-system?
I am wondering what is going on "under the hood" or intuitively of what the implication of modelling outliers as dummy's in a VAR-model.
To make this question more clear I will provide an example.
L …
- 197