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Results tagged with vector-autoregression
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user 56706
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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Can a cointegrated variable be exogenous in first difference in a VEC model?
If I have a variable C that is cointegrated with both variables A and B separately, can I use it in first-differenced form as an exogenous variable in a VEC model involving A and B?
- 2,297
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1
answer
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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 o …
CommunityBot
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1
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Is ARCH test mandatory for VAR?
Is ARCH test mandatory for VAR? If so, what lag length of the ARCH test should I use? The same as the lag length of my VAR or VEC model?
- 69.5k
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0
answers
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Including exogenous variables in VECM (Rahbek and Mosconi, 1998)
I am reading the Rahbek and Mosconi (1998) paper on how to introduce exogenous variables in VEC models. I understand that, in addition to the introduction of the stationary exogenous variables, I shou …
- 69.5k
0
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1
answer
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Do all variables in a VAR/VEC need to be normally distributed, or only the target variable?
Do all variables in a VAR/VEC need to be normally distributed, or only the target variable? It is very hard to get all of them to meet criteria of normality without deleting too many outliers.
CommunityBot
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4
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Jarque-Bera test mandatory for VECM and VAR?
What tests do I need to perform for VECM and VAR to be considered robust? I know LM test for residual autocorrelation is mandatory, but what about Jarque-Bera test? Is that necessary?And what should I …
- 34.8k