Vecm

Coming to Your Field Soon: A Primer on VAR’s and VECM’s A time series methodology originating in macroeconomics [Sims 1980], now popular in finance – soon to take over your field too! efrizal on VAR's and VECM's

What do the acronyms stand for? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What’s the practical benefit of a VAR? ,[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

Example 1 from Macroeconomics ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

Example 2 from Macroeconomics ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What’s the benefit to a researcher of using a VAR? ,[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What do you need to choose to set up a VAR? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What would the resulting VAR look like? ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How do you estimate the VAR? ,[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What do the estimates of the VAR look like? ,[object Object],[object Object],efrizal on VAR's and VECM's

How is that justified? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How is that justified (cont’d)? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

If you’re not interested in the significance of the parameters, what is the point of estimating a VAR? ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

Why do we need VAR ancillaries? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

The math – page 1 ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

The math – page 2 ,[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

The math – page 3 ,[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

The math – page 4 ,[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How do we sort out what’s going on here? ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

The significance of the math ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What do we do with this result? ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What’s an impulse response function? ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What’s a variance decomposition? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

Reporting VAR ancillaries ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What’s the biggest problem with VAR ancillaries in published research? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What’s the catch? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

What’s the identification problem? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How do we (conceptually) identify a supply or a demand? ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How do we (mathematically) identify a supply and a demand? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How does identification differ in VAR’s? Part 1 ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How does identification differ in VAR’s? Part 2 ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How does identification differ in VAR’s? Part 3 ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How does identification differ in VAR’s? Part 4 ,[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How does identification differ in VAR’s? Part 5 ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How does VAR identification work in practice? ,[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

An example of VAR identification ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

How sensitive are VAR’s to ordering? ,[object Object],[object Object],[object Object],efrizal on VAR's and VECM's

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