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Question5.11|EstimatingVARs|MFxCourseware|edX
Getting Started
Entry Survey
and Pre-Course
Quiz
Course
Introduction
Module 1:
EViews Basics
(Optional)
Module 2:
Introduction to
EViews
Module 3A:
Statistical
Properties of
Time Series
Data
Module 3B:
Statistical
Properties of
Time Series
Data
Module 4:
Forecast
Uncertainty &
Model
Evaluation
EXPLANATION
The correlogram from the canada2 VAR can be seen below. It has
some significantly high first order autocorrelations suggesting some
short-term correlation.
Introduction
Questions due Nov 25,
2015 at 23:30 UTC
Sources of
Uncertainty
Questions due Nov 25,
2015 at 23:30 UTC
https://courses.edx.org/courses/coursev1:IMFx+MFx+2015T3/courseware/c7a914d5671e453eace54746594f5d63/af626a308c1745b79e785578a8d2bb6c/
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Question5.11|EstimatingVARs|MFxCourseware|edX
Statistics for
Forecast
Assessment
Questions due Nov 25,
2015 at 23:30 UTC
Theils U Statistics
Questions due Nov 25,
2015 at 23:30 UTC
Introduction to
Forecasting
Strategies
Questions due Nov 25,
2015 at 23:30 UTC
Introduction to
Structural Breaks
Questions due Nov 25,
2015 at 23:30 UTC
Fan Charts
Questions due Nov 25,
2015 at 23:30 UTC
Module 5:
Vector
Autoregressions
(VARs)
The correlogram from the canada VAR can be seen below. It no longer
displays the same problem with large first order autocorrelations,
suggesting that adding one lag took care of the issue. Two lags seems
to be the better choice.
https://courses.edx.org/courses/coursev1:IMFx+MFx+2015T3/courseware/c7a914d5671e453eace54746594f5d63/af626a308c1745b79e785578a8d2bb6c/
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Question5.11|EstimatingVARs|MFxCourseware|edX
The null cannot be rejected for any lag lengths, and thus there is
serial correlation.
EXPLANATION
https://courses.edx.org/courses/coursev1:IMFx+MFx+2015T3/courseware/c7a914d5671e453eace54746594f5d63/af626a308c1745b79e785578a8d2bb6c/
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Question5.11|EstimatingVARs|MFxCourseware|edX
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https://courses.edx.org/courses/coursev1:IMFx+MFx+2015T3/courseware/c7a914d5671e453eace54746594f5d63/af626a308c1745b79e785578a8d2bb6c/
4/5