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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.
4
votes
1
answer
2k
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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 …
1
vote
1
answer
3k
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 o …
3
votes
2
answers
541
views
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?
1
vote
1
answer
796
views
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?
1
vote
0
answers
340
views
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 …
0
votes
1
answer
718
views
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.