What is the Vector Autoregression (VAR) Model? What are the main analytical tools of VAR model?

Communiquez avec les autres et partagez vos connaissances professionnelles

Inscrivez-vous ou connectez-vous pour rejoindre votre communauté professionnelle.

Next Question:
Why Monte Carlo VaR Model is used by risk managers to measure market risk of Non...
Posted by:
SYED ADEEL HUSSAIN
29-December-2013

Question ajoutée par Md. Shahnawaz Karim Karim , Economic Advisor , Ministry of Finance, Riyadh, Saudi Arabia
Date de publication: 2015/09/15

Apprécier (0) Vues (4) Suiveurs (2) Réponses (2) Report Question

Ajoutez Une Réponse
Inscrivez-vous ou connectez-vous pour répondre.

2 Réponses

par Muhammad Tahir Rashid , Campus Director/Director Academics , National College of Business Administration and Economics

Main analysis tools for VAR are Johnson Cointegration

Apprécier (0)

Déprécier Réponses () Rapport

par ADEBOLA ODEBUNMI , Research assistant , International Food Policy Research Institute

Var is an econometric model used for time series analysis. The VAR invovles carrying out some test such as the test of unit root, test of co-integration, running the error correctio model if co-integration exist or running the unrestricted var if co-integration does not exist. The last is involves running the diagnostic check to test for serial correlation. heteroskedasity and nomality.

Apprécier (0)

Déprécier Réponses () Rapport