Wald Test is done to test whether two or more independent variables jointly can influence dependent variable or not. It is a short run test. Yes you are right
Probability 0 means data is not normal. So you can either increase sample size, or change variables or transform the variables into log and then run the model again.
Would you please let me know what economic theory that I should use as a theoretical framework for applying the VAR/VECM to assess the impact of oil price fluctuations on macroeconomic variables? I'm asking because I have gone through an article that say no economic theory is needed when applying VAR model!!
Out of all the variables in my time series model, one is stationary at level and rest are stationary at first difference. I want to estimate my model using VAR granger causality test. My question is do i first need to convert the non-stationary variables into stationary and then perform the VAR causality test in eviews? or should I simply apply the VAR causality test on the non-stationary variables?? thank you in advance!
When the variables are non-stationary at level but become stationary after first differenced, then u can run Johansen Test with non-stationary data. What programme are u using?
Hi Could you please tell me for a Vector Autoregression model can I only use endogenous variables? if so how do I find out if my variables are endogenous or exogenous? Thanks
sir in the case of impulse response model do the endogenous variable represent dependent ones. then r we not suppose to use one dependent and one independent variable to get impulse response thanks mayureesh
Great video¡¡ how you anything about forecast gdp with nowcasting techniques or MIDAS? What do you think are the most and more accuracy techniques? Thanks a lot for the video and your time? Cherrs¡
Hi Sayed Hossain. I am doing a master thesis in the topic of monetary transmission mechanism by using VAR. I want to estimate a VAR with parameter constraints in Eviews. I did this with "Proc -> Make Sytem". I deleted some coefficients and then estimated the model. From now on the results are presented quite different compared to the usual VAR-presentation. I can not get the impulse response from doing this. So, i think i did a wrong way. Please suggest me how to estimate this VAR.
So after I've ran the wald's test, my results showed that all those significant variables can jointly explain my dependent variable. Did I get the explanation right? Thanks. :)
Do we need to use the level series or 1st diff series in the var test? also, could you please upload the video about variance decomposition? Thanks a lot :)
what is the data i choose ti find correlation between interest rates and foreign direct investment , foreign portfolio investment What i r do i choose is it government bond rates kindly suggest thank u mayuresh
Sorry I could not understand your question. Are you asking what are the pre-conditions before running VAR? Thank you Sayed Hossain from Hossain Academy at www.sayedhossain.com
Dear Sir, What is the difference between Multi-variables and Bi-Variables in VAR model? I mean I found a research that they use multi-variables in VAR regression and another they use bi-variables for different independence variables (ex: it have 3 independence variables and they run regression 3 times each time for each independence variable and dependence variable) while these variables passed correlation test. So I dont understand the difference between them. If it passed the correlation test, why they didn't regression in multi-variables? Thank you very much for your video, I'm waiting for your answer :D Sincerely, Anh
Hi Dr. Hossain. Why I used the same data to your but it still get the "Near singular matrix" error when I click "Ok" to estimate VAR (using OLS method as your instruction)? I use Eview 7.
Dear Sir, thanks for all your responses. I have some more questions please: this time regarding optimal lag selection for VAR, which I need to be clear on. To find the optimal number of lags for VAR should one do as you have demonstrated in your optimal lag selection video: watch?v=a2tmlS0u9Wc by using different lags, but this time select 'unrestricted VAR' on Eviews (as shown here), then choose again the lowest AIC/SIC value. Must one stick to AIC/SIC for lag selection in the VAR model?
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy facebook.com/groups/hossainacademy/
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy facebook.com/groups/hossainacademy/
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy facebook.com/groups/hossainacademy/
Dr. Sayed Hossain Many thanks for this free lectures. I have learned a lot from your video lectures. I'm sure God (Allah) will reward you for that. I'm planning to use EViews on my thesis, but my supervisor has raised a question that I couldn't find answer it. The question is that "how do you validate the outputs of the VAR model when using EViews software?" In other words, how do you prove that the coefficients you got as result of running the VAR model are correct?"
sorry sir! but I have a question! I want to conculate OLS Beta est in eviews, so how can I do it? can you teach me how can we find out Beta Estimation for TIBCO software in eviews! thank you for reach it!
thanks for replying. I want to check the relationship between stock returns and 5 macroeconomic variables. all data were found stationary (except 1 independent variable) were found stationary at their level. How do i check the long run and short run relationship of the data? what are the tests i should take up? can i do variance decomposition and impulse response?
dear mr Sayed i have a test on this stuff u broke down to understand very nicely i was wondering if i could show u my work. can i possibly take one min of your time please sir?
+Máté Bartha I have not done Structural VAR yet. However, I would like to invite you to join Hossain Academy Facebook for greater interaction about economics, finance and econometrics with me. Thank you Sayed Hossain from Hossain Academy. Please join below and post your question.facebook.com/groups/hossainacademy/
Thanks you your time and effort putting these videos online, they have been very helpful. Do you know if you will upload anything about variance decomposition eviews? Best regards Otto
Dr Hossain, thank you for the effort in uploading your free lectures. They have been very helpful! Would you be doing one on structural decomposition and the respective IRF soon? Either way, thank you for your effort!
Dear Maricielo, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there. Actually I am in that group and may help you. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
HELO, Gudday Sayed Hossain. Pls i am working on my B Sc. Project, and i am working on The impact of globalisation on poverty. Pls i am confused on the methodology to use and pls give me reasons why i should use the methodology u adopted. i hv a deadline of today. pls can you help me out. I would be very grateful if u could assist me, tanxs.
Hi Dr. Hossain, thanks for your excellent educational videos. Is it correct to insert negative values in the VAR model. For example, Budget deficit time series data or deficit in trade balance. OR better to converted into positive values?
HI ! THanks for helpful video! Can you please help with VAR modeling of stock (particular company at stock exchange) and its forecasting value for 30-60 days. May be you have some tutorial for that or instructions step-by-step how to do that. Would be highly appreciated!
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy.
I have another videos where I showed how to select lag other than AIC/SIC. That is more convincing and appealing. Type Hossain Channel in Google search box and see the Homepage of Hossain Channel to see the videos.
AmEr ReMy Thank you for your question. Please join Hossain Academy Facebook below where our group members including myself may help you further in your data analysis. Post your question there. Link is given below. Thank you Sayed Hossain from Hossain Academy
What about the numer of observations, you only have 11 obs, thats not a good number of observation to specifie an ortogonalized shock on an impulse-response function
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy.
Dude, you're talking veeeeeeeeeeeeeeery slow and its annoying how you explain like 700 times which are dependent/independent variables. Please, work on your presentation. Your videos could be so helpful..
Cointegration looks for whether there is any error term or not. if there is no error term, there do not require any VECM.
I must say thank you before saying anything. You have been very helpful to many of us. But Sir, please go a bit faster... Please... Please.... Please
Wald Test is done to test whether two or more independent variables jointly can influence dependent variable or not. It is a short run test. Yes you are right
Probability 0 means data is not normal. So you can either increase sample size, or change variables or transform the variables into log and then run the model again.
Would you please let me know what economic theory that I should use as a theoretical framework for applying the VAR/VECM to assess the impact of oil price fluctuations on macroeconomic variables? I'm asking because I have gone through an article that say no economic theory is needed when applying VAR model!!
When u go for Hetro test in Eviews, you will find there are so many hetro test available other than Bruesh-Pegan test, you can see there.
Out of all the variables in my time series model, one is stationary at level and rest are stationary at first difference. I want to estimate my model using VAR granger causality test. My question is do i first need to convert the non-stationary variables into stationary and then perform the VAR causality test in eviews? or should I simply apply the VAR causality test on the non-stationary variables?? thank you in advance!
When the variables are non-stationary at level but become stationary after first differenced, then u can run Johansen Test with non-stationary data. What programme are u using?
Hi
Could you please tell me for a Vector Autoregression model can I only use endogenous variables? if so how do I find out if my variables are endogenous or exogenous?
Thanks
sir
in the case of impulse response model do the endogenous variable represent dependent ones. then r we not suppose to use one dependent and one independent variable to get impulse response thanks
mayureesh
Great video¡¡ how you anything about forecast gdp with nowcasting techniques or MIDAS? What do you think are the most and more accuracy techniques? Thanks a lot for the video and your time? Cherrs¡
Mr. Hossain, if you don't mind, how can I do Variance Decomposition using EViews? Thank You :)
Hi Sayed Hossain. I am doing a master thesis in the topic of monetary transmission mechanism by using VAR. I want to estimate a VAR with parameter constraints in Eviews. I did this with "Proc -> Make Sytem". I deleted some coefficients and then estimated the model. From now on the results are presented quite different compared to the usual VAR-presentation. I can not get the impulse response from doing this. So, i think i did a wrong way. Please suggest me how to estimate this VAR.
Hi Dr. Syed
What is appropriate time length to run an econometric model? I heard that it should be more that 20 years, is that correct?
I do not have Microfit to run ARDL model.
So after I've ran the wald's test, my results showed that all those significant variables can jointly explain my dependent variable. Did I get the explanation right? Thanks. :)
Do we need to use the level series or 1st diff series in the var test?
also, could you please upload the video about variance decomposition? Thanks a lot :)
Hi! Why do I need to run VAR after finding out that there is no cointegration? Thanks! :)
is this a Vector Autoregression Model or Value at risk model???
what is the data i choose ti find correlation between interest rates and foreign direct investment , foreign portfolio investment What i r do i choose is it government bond rates kindly suggest
thank u
mayuresh
Please Dr, how do one formulate a VAR model? And what informs the need to use VAR for analysis. Thank you
Sorry I could not understand your question. Are you asking what are the pre-conditions before running VAR? Thank you Sayed Hossain from Hossain Academy at www.sayedhossain.com
Yes sir. The precondition of using VAR. And a sample of how the model of 2independent variables are formulated. E.g Y= a +bx
i want to see the impact of Brent crude on 25 chosen stocks from the lse...is the test appropriate ?
what test?
Sayed Hossain VAR test... i was just wondering how do i conduct it with 25 stocks...
Dr Sayed ..Please how can I run a vector autoregression In Difference (VARD) model...
Dear Sir,
What is the difference between Multi-variables and Bi-Variables in VAR model? I mean I found a research that they use multi-variables in VAR regression and another they use bi-variables for different independence variables (ex: it have 3 independence variables and they run regression 3 times each time for each independence variable and dependence variable) while these variables passed correlation test. So I dont understand the difference between them. If it passed the correlation test, why they didn't regression in multi-variables?
Thank you very much for your video, I'm waiting for your answer :D
Sincerely,
Anh
Mr Seyad:
Thank you for your help with these videos. have you done any thing about variance decomposition eviews? I appreciate uploading that.
Hi Dr. Hossain. Why I used the same data to your but it still get the "Near singular matrix" error when I click "Ok" to estimate VAR (using OLS method as your instruction)? I use Eview 7.
Phuong Ha To discuss more, join with me in Hossain Academy Facebook below.
facebook.com/groups/hossainacademy
I never tried with VARD...
Gradually I shall be uploading all. Thanks for comments
Dear Sir, thanks for all your responses. I have some more questions please: this time regarding optimal lag selection for VAR, which I need to be clear on. To find the optimal number of lags for VAR should one do as you have demonstrated in your optimal lag selection video: watch?v=a2tmlS0u9Wc by using different lags, but this time select 'unrestricted VAR' on Eviews (as shown here), then choose again the lowest AIC/SIC value. Must one stick to AIC/SIC for lag selection in the VAR model?
hi dr hossain thanks for the video i want to ask about the way to have a graph of volatilité and confidential volatility of index like s&p ? thank you
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy
facebook.com/groups/hossainacademy/
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy
facebook.com/groups/hossainacademy/
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academy
facebook.com/groups/hossainacademy/
Dr. Sayed Hossain
Many thanks for this free lectures. I have learned a lot from your video lectures. I'm sure God (Allah) will reward you for that. I'm planning to use EViews on my thesis, but my supervisor has raised a question that I couldn't find answer it. The question is that "how do you validate the outputs of the VAR model when using EViews software?" In other words, how do you prove that the coefficients you got as result of running the VAR model are correct?"
sorry sir! but I have a question!
I want to conculate OLS Beta est in eviews, so how can I do it?
can you teach me how can we find out Beta Estimation for TIBCO software in eviews!
thank you for reach it!
Trang Be I am not sure about beta issue so unable to comment. thanks
thank you your answer my question!
Sir, please we need ARDL model as sson as you can?
Yes you are correct. Here I have just given an example how to get the job done.
When the data become stationary at their levels, what are tests we can perform on a time series? pls specify
It depends on what you want to do....There are various tests to do various things.
thanks for replying. I want to check the relationship between stock returns and 5 macroeconomic variables. all data were found stationary (except 1 independent variable) were found stationary at their level. How do i check the long run and short run relationship of the data? what are the tests i should take up? can i do variance decomposition and impulse response?
hi sir, can you plz show us how to create seasonal dummy variables in eviews!!! thank you!!!
dear mr Sayed i have a test on this stuff u broke down to understand very nicely i was wondering if i could show u my work. can i possibly take one min of your time please sir?
Dear Sayed Hossain!
I have to make a Stuctural VAR model. Can you make video with STATA or Eviews? I would be grateful! Thank you in advance :)
+Máté Bartha
I have not done Structural VAR yet. However, I would like to invite you to join Hossain Academy Facebook for greater interaction about economics, finance and econometrics with me. Thank you Sayed Hossain from Hossain Academy. Please join below and post your question.facebook.com/groups/hossainacademy/
Thanks you your time and effort putting these videos online, they have been very helpful. Do you know if you will upload anything about variance decomposition eviews?
Best regards Otto
Dr Hossain, thank you for the effort in uploading your free lectures. They have been very helpful! Would you be doing one on structural decomposition and the respective IRF soon? Either way, thank you for your effort!
You have to design which variable is endogenous and which one is exogenous...you have decide it...
I have not done yet. May be in future
Dear professor!
I have one cuestion... how do you choose the number of lags? you always have to choose 2 or it depends on something?
Dear Maricielo, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your
question there. Actually I am in that group and may help you. Thank you once
again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
HELO, Gudday Sayed Hossain. Pls i am working on my B Sc. Project, and i am working on The impact of globalisation on poverty. Pls i am confused on the methodology to use and pls give me reasons why i should use the methodology u adopted. i hv a deadline of today. pls can you help me out. I would be very grateful if u could assist me, tanxs.
Hi Dr. Hossain, thanks for your excellent educational videos. Is it correct to insert negative values in the VAR model. For example, Budget deficit time series data or deficit in trade balance. OR better to converted into positive values?
elsiddigobaid I have opened a Hossain Academy facebook group for discussion. Please join there. ThanksSayed hossain
Please show me here. I will answer if I know the answer.
No.You can see my lag selection method.
HI ! THanks for helpful video! Can you please help with VAR modeling of stock (particular company at stock exchange) and its forecasting value for 30-60 days. May be you have some tutorial for that or instructions step-by-step how to do that. Would be highly appreciated!
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy.
Thanks a lot! You've been very helpful. :)
I have another videos where I showed how to select lag other than AIC/SIC. That is more convincing and appealing. Type Hossain Channel in Google search box and see the Homepage of Hossain Channel to see the videos.
Great video Sayed. very helpful. however, i would suggest to stop repeating stuff. if i didnt get anything ill just go back and watch it again.
ina selita You are welcome and thank you for good suggestion. Please join Hossain Academy faceboook below
can i use four variables for var model ?
Can i join Hossain Academy facebook group to ask more details about VAR models.
AmEr ReMy Thank you for your question. Please join Hossain Academy Facebook below where our group members including myself may help you further in your data analysis. Post your question there. Link is given below. Thank you Sayed Hossain from Hossain Academy
facebook.com/groups/hossainacademy/
AmEr ReMy You can Hossain Academy Facebook for discussion with us about your model. The link is below.
facebook.com/groups/hossainacademy/
When the variables are not cointegrated, then you have the validity to run VAR model, not VECM.
Dependent will become independent and independent will become dependent...
how many coefficient? 21! nice video ;)
What about the numer of observations, you only have 11 obs, thats not a good number of observation to specifie an ortogonalized shock on an impulse-response function
This only description of p-value. its not main thing in Var. Where is the real calculation of Var with probability 95 and 99%?
Thank you. I would like to invite you to join Hossain Academy Facebook Group at below link and join our group discussion. Thank you. Sayed Hossain from Hossain Academy.
You are welcome
it is done
That's fine.
Dude, you're talking veeeeeeeeeeeeeeery slow and its annoying how you explain like 700 times which are dependent/independent variables. Please, work on your presentation. Your videos could be so helpful..
Thanks for good advice. I shall look into it carefully next time.