Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [vector-auto-regression]

The tag has no usage guidance.

0
votes
0answers
4 views

Limitations of Granger Causality Tests?

What are some of the main limitations of Granger Causality tests in the Vector Autoregression model? Thanks.
0
votes
0answers
7 views

Pairwise & VAR Granger Causality in Eviews

I get different Granger Causality Results when using VAR Exo Wald Test GC compared to Pairwise GC. Which results are more reliable to consider and what is the actual difference between the two? Which ...
0
votes
0answers
7 views

Lag selection for daily data under AIC

I have daily fx equity data and am applying a VAR model. How many lags should be ideally used for daily time-series data?
0
votes
1answer
12 views

High F-Statistic Value and negative Probability for Granger Causality Result, Interpretation?

I tested the hypothesis: SwissFranc/USD does not Granger Cause S&P500 and received an F-Statistic of 69.1 and a probability of 2E-51. How do I interpret this result and can the probability be 2E-...
0
votes
0answers
5 views

Testing cross-covariance in the residuals of a VAR(p) model

Suppose I have a vector autoregressive model of order $p$: $$y_t = c + A_1 y_{t-1} + ... + A_p y_{t-p} + u_t$$, where $y_t$ is a $K\times 1$ vector and $A_i$ are $K\times K$ matrices. We assume the ...
1
vote
0answers
5 views

Is it necessary to keep the regression model linear for checking the Granger-Causality relationships between the variables of a data-set?

For checking the Granger's Causality between two variables of a data-set, lets say to check X granger-causes Y, we create two regression models, a restricted model(containing the lagged values of ...
1
vote
1answer
108 views

AR(1) to Ornstein-Uhlenbeck for AR(1) process of the form $\ln z_{t+1}=\rho \ln z_t+\sigma \sqrt{(1-\rho^2)}\epsilon_t$

I have the AR(1) process of the following form: $$\ln z_{t+1}=\rho \ln z_t+\sigma \sqrt{(1-\rho^2)}\epsilon_t$$ And need to find its continous time corresponding Ornstein-Uhlenbeckprocess. I have ...
0
votes
0answers
21 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 ...
0
votes
0answers
10 views

Is there any theoretical result on how to stabilize a polynomial by changing its coefficients?

The stability of a general $n$ order polynomial is associated with the following statement: if all the roots of the following equation falls in unit circle on the complex plane, then the system is ...
0
votes
0answers
25 views

Filtered Historical Simulation FHS for VAR

If I wish to run a FHS for VaR model, first I estimate the GARCH model on the historical returns $r_{t}$, then I obtain the historical innovation time series as $z_{t}=\frac{r_{t}}{\sigma_{t}}$, where ...
1
vote
0answers
13 views

Foster autoregression in R [closed]

I want to calculate first order autoregression of quarterly earnings by Foster. Can anybody help me to implement it in R or other statistical software? I just don't know what to do with the mid term ...
0
votes
0answers
27 views

Many multiple regressions instead of a single VAR model, what's the potential problems?

If I am trying to see the relationship between two variables for example Returns ($Y$) and Twitter sentiment ($S$) as well as I want to include some control variables ($X$), can I simply run couple of ...
1
vote
0answers
22 views

Can an autoregressive process of order $k$ be expressed as a $k$-step Markov chain?

I am curious if an autoregressive process of order $k:$ $X_{t}= c+ \sum_{i=1}^{k}\phi_i X_{t-i} + \epsilon_i$ can be expressed as a $k$-step Markov chain with transition probability $$ P_{ij}^{k} = ...
0
votes
1answer
43 views

Collinearity in Vector Autoregression and Impulse Response (Time Series)

I am sort of new to time series, and I am jumping right into modeling one time series in terms of past values of itself as well as other time series. Simply from visualizing the predictor time series, ...
0
votes
1answer
198 views

Determining first element of an AR1 model

I have an AR1 process of the well-known form: $y(t) = a*y(t-1) + e(t)$ And, in any computational software the elements of the time-series $y$ will be stored in a vector. Now, how can I calculate $y(...
1
vote
0answers
32 views

Spillover and covariance effects in spatial statistics

I have a dependent variable, $Y$, which is made up of several independent uncertain variables, $X$. Independent variables are dependent to each other and there are co-variance and spillover effects ...
0
votes
1answer
73 views

Partial derivative of matrix-vector product: Least Square

The following is part of an assignment so no full answers please. I am given the following VARX process: $$ Y(t) = \mu + \sum_{p=1}^P A_p Y(t-p) + BU(t) + \epsilon (t), $$ with $t=1, \dots ,T$. ...
0
votes
1answer
27 views

Cointegrated multivariate time series - question about a derivation

Trying to follow a derivation in Lai & Xing's "Statistical Models and Methods for Financial Markets", regarding multivariate time series: Let $$\Delta \vec{y}_t = \vec{\mu} + \Pi \vec{y}_{t-1}$$ ...
0
votes
0answers
69 views

What are the instruments in a panel p-var? (vector autoregression)

So, I am following Abrigo Love (2015) and I want to write a Matlab code to produce the estimate of a panel VAR (I do know that there is a STATA code already done, but I am trying something different, ...
2
votes
1answer
197 views

Finding the ACF of a VAR(1) model

I want to know the first order autocorrelation of a VAR(1) model. That can be calculated as follows $\rho(1)=\frac{\gamma(1)}{\gamma(0)}$ where $\gamma(1)$ denotes the covariance and $\gamma(0)$ ...
0
votes
0answers
171 views

How to generate power spectra of AR-1 process in matlab?

I have a time series x1 as 3600x1 double. I need to fit AR-1 spectra on the power spectral density of x1. Well, I am not an expert and this is the first time I am studying time series. If AR-1 ...
0
votes
1answer
188 views

Why and when a VAR(1) model is stable?

I have already asked a similar question, but it was broader (and nobody answered). I have not found anything really helpful and understandable so far that explains why and when a VAR(1) model is ...