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Despite its well-known properties, there is currently no module in the MS-Excel, to the best knowledge, that can be used for estimating and determining the optimal lag order of the VAR model. Thus, paying attention to the process of selecting the optimal lag order in the multivariate model before using the underlying model for empirical analysis is an important issue. A crucial issue within this context is to determine the optimal lag order of the VAR model for the reason that all inference based on this model is correct only if the optimal lag length is correctly specified. Another advantage of this model is that it provides the possibility to generate impulse response functions and variance decomposition in order to capture the impact of an exogenous shock within the system. It can also be used for cointegration and causality testing. The VAR model is known for having good forecasting properties.
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This model is a seminal contribution by Sims, which allows for interaction between the variables in a multivariate sense.
VBA EXCEL LINEAR REGRESSION SERIES
The vector autoregression (VAR) model is regularly utilized by practitioners in the empirical analysis of time series data.
VBA EXCEL LINEAR REGRESSION FULL
The full terms of this license may be seen at Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. This article is published under the Creative Commons Attribution (CC BY 4.0) license. Published in Applied Computing and Informatics. Ĭopyright © 2019, Alan Mustafa and Abdulnasser Hatemi-J License (2020), "A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation", Applied Computing and Informatics, Vol. This module can be used for estimating a multivariate dynamic model as well as determining the optimal lag order of such a model. To show a solution for a complex and multi-step process of finding the optimal lag order for multiple variables data series based on an information criterion a module using Visual Basic for Applications (VBA) for Microsoft Excel (MS Excel) is being developed. In this study, a tool has been designed and developed for learning about the concept of lag order within a dynamic model, which can be used in any teaching classes on statistics and financial data computation.