Econometrics - Estimating VAR model in R

This tutorial shows you how to estimate a vector autoregressive (VAR) model in R. Follow this link to download the data.
www.dropbox.co...
save the file in your current work directory and execute the following command to import the data in R
y = read.csv("MNM038lab5VAR_simulated_y.csv")

[@luqmanabubakari4302]

Very concise but exhaustive presentation

[@Philantrope]

Great tutorial. Thank you!!

[@Hanomics]

Thank you!

[@thejakumari7587]

This was very very helpful for my research. Thanks a lot! 🥰

[@Creatinous]

Very well explained and massively helpful. Thanks a lot!

[@ignacioandresfernandezspul2812]

Really useful and informative vifdeo. Thank you very much!!

[@lucasgoncalves7331]

What a great tutorial! Thank you very much!

[@futurdatascientist3851]

Very well explanation ,continue

[@Joker-No-Commentary]

wow i just finished my essay in one hour THANKS!

[@kvafsu225]

Very very useful. Thank you.

[@Hanomics]

Glad it was helpful!

[@liliansinyangwe9661]

Very useful videos!

[@oscarlu9919]

Thank for the explanation, very informative. However, could you also introduce something about VAR estimation using rolling window, it will be really helpful for me.

[@OneGynFitness]

Thank you.

[@pitchas8261]

Thank you so much!

[@florinaliu5489]

fantastic explanation , thank you

[@fisheralfred6683]

Thanks professor

[@fvc1612]

Nice video. Plz a video of VECM estimation

[@raulgodinez3638]

amazing bro, thanks you so much!

[@Hanomics]

You are welcome!

[@almontheralmonther9712]

جزاك الله كل خير

[@Hanomics]

جزانا واياكم

[@hamazonegirlonfire7800]

thanks for all

[@Hanomics]

Most welcome

[@chandankumargautam8039]

Any video for SVAR

[@cl3761]

thank you, it helps!

[@Suwaniify]

Thank you!!

[@hodaelabbadi970]

Thank you for all these super helpful videos. Would you please guide on how to do a presentation using LaTex? Thanks a lot

[@chandankumargautam8039]

Thanks You

[@mohamedhame5187]

شكرا دكتور هاني
if i want to run VAR my data must be stationary at level or should be at the same order

[@Hanomics]

If the series are not stationary, you could first test for cointegration and estimate a vector error correction model if series were cointegrated. Otherwise, you may estimate a VAR model on data integrated of first-order i.e., I(1) after taking the first difference to make it stationary.

[@fritzalva6642]

Is there a way to specify the sign of the shock? I don't mean to sign restriction, i just want to specify, for example, the response of x1 variable to a negative shock of x2 variable.

[@renzo52764]

Thank a lot for the brilliant tutorial! I have a query. When I try to plot the irf, it shows me 2 graphs, together as sharing the X-axis, instead of an unique graph. Can you help me please?

[@misshannah119]

hi, thank you ! When i fit a var model with more than two variables how can i test granger casuality between any two

[@blackangelofthedead]

I have the same question

[@michaelhu8545]

it would be better to add residual serial correlation in the test

[@mattiasrodrigogallegosnovo5070]

Can we estimate a transitory and permanent shock of any variable to the others? How?

[@ronaldbaronirojasguerrero7831]

Could do you do SVAR example ????, thanks

[@borknagarpopinga4089]

That'd be great

[@danteremagit9996]

Can you please share the link to the video where you simulated your data?

[@yashpandey5484]

Hey sir
Will you please tell me that weather I use var model when I have more than 2 variables ??

[@yaichewarda1229]

Please you have. VaR with lambda distribution

[@rimmeriem5883]

slm Sir, do you have a video about 'Midas -ardl' in R thank you

[@The_Mindful_Scholar]

plz do for CaviaR model

[@ciroweinstein8627]

vector autoregressive (VAR)...owwwww I thought you meant Value at Risk VaR

[@ikuyas5227]

Please call it "V", "A", "R".