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Jun 12

Vector autoregression (VAR)

Posted by abiao at 12:52 | Code » Matlab | Comments(0) | Reads(17498)
Neil left me a message: "...I am looking for examples of Vector Autoregression so I can code into excel, do you know of any links or any books that have this as code..."

Vector autoregression (VAR) model is one of the most successful, flexible, and easy to use models for the analysis of multivariate time series. It is a natural extension of the univariate autoregressive model to dynamic multivariate time series. The VAR model has proven to be especially useful for describing the dynamic behavior of economic and financial time series and
for forecasting. Wikipedia has a detailed explanation on it.

Unfortunately I have not used it except once I tried the built-in VAR function in Eviews over 5 years ago, when one of my classmates did a seminar presentation on it. Sorry I couldn't find useful VBA code, what i do get is a sample spreadsheet showing the VAR Series Analysis & Results but it seems the author intentionly hides the macro code, http://www.afpc.tamu.edu/courses/622/files/lecturedemos/Lecture%2007%20Vector%20Autoregression.xls.

If you are happy with Matlab, here is a Vector autoregression (VAR) package where you can track line by line how to implement and use the model, hope it helps, http://www.rri.wvu.edu/WebBook/LeSage/etoolbox/var_bvar/contents.html

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