A Model of Vector Autoregression
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Vector autoregression (VAR) generalizes univariate autoregression (AR). A VAR process of order can be formulated as
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Contributed by: Matus Baniar (March 2014)
(Charles University, Prague)
Open content licensed under CC BY-NC-SA
Snapshots
Details
Data samples:
1. generated by stationary process
2. generated by stationary process
3. generated by stationary process
4. first differences of logarithm of daily close prices of Apple, Google, and Microsoft in the time period from 2013/02/01 to 2013/11/15
5. generated by nonstationary process
For a selected model , the first data values are used as presampled values.
References
[1] T. Cipra, Finanční ekonometrie, Praha, Czech Republic: Ekopress, 2008.
[2] H. Lütkepohl, New Introduction to Multiple Time Series Analysis, Berlin: Springer, 2005.
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