Tutorial_on_VAR

《Tutorial_on_VAR》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、ComingtoYourFieldSoon:APrimeronVAR’sandVECM’sAtimeseriesmethodologyoriginatinginmacroeconomics[Sims1980],nowpopularinfinance–soontotakeoveryourfieldtoo!1DaveTufte'sPrimeronVAR'sandVECM'sWhatdotheacronymsstandfor?VAR:vectorautoregressionVectorindicatesthemorethanonevariablewillbepredictedTh

2、us,asetofregressionsisrun(simultaneously)AutoregressionindicatesthatvariableswillberegressedontheirownpastvaluesVECM:vectorerrorcorrectionmodelSimplyaVARwithaspecifictypeofcoefficientrestrictionimposedCointegrationindicateswhetherthoserestrictionsareuseful2DaveTufte'sPrimeronVAR'sandVECM's

3、What’sthepracticalbenefitofaVAR?Howdoyoucapturearelationshipthatchangesthroughtime?ProbablynotwithalinearregressionHowever,aVAR,whichamountstoasetofinter-relatedlinearregressionscandothis3DaveTufte'sPrimeronVAR'sandVECM'sExample1fromMacroeconomicsFisherEffectSupposetheFederalReservepursues

4、anexpansionarymonetarypolicy–essentiallytheyputnewmoneyintocirculationInterestratesdropintheshort-runSincetheFedbuysbondstogetthemoneyoutInterestratesriseinthelong-runBecausetheadditionalmoneyincirculationallowsthepricesofgoodstobebidup4DaveTufte'sPrimeronVAR'sandVECM'sExample2fromMacroeco

5、nomicsTheJ-CurveSupposeacountrydevaluestheircurrencytoimprovetheirtradepositionGDPgoesdownintheshort-runSincepricesofforeignintermediateproductsriseimmediately,productionfallsGDPgoesupinthelong-runUltimately,domesticproducersareabletoadjustquantitiesandexportmoreatalowprice5DaveTufte'sPrim

6、eronVAR'sandVECM'sWhat’sthebenefittoaresearcherofusingaVAR?AVARrequireslessrestrictive(easiertojustify)assumptionsthanothermulti-variablemethodsItdoesn’tobviatetheidentificationproblem,butitdoes:EliminatethelinearalgebraassociatedwithitCouchtheproblemintermsthataresimplerforthepractitioner

7、toapply6DaveTufte'sPrimeronVAR'sandVECM'sWhatdoyouneedtochoosetosetupaVAR?A(small)setofvariablesSixisabouttheupperlimitAdecisiononalaglengthThesamelengthforeachvariableLongerispreferablewiththismethodAdecisionaboutwhetheryouneedtoincludeanyotherdeterministicva