Autocorrelation in VAR model

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

Post Reply
Ales
Posts: 8
Joined: Tue May 24, 2016 3:51 am

Autocorrelation in VAR model

Postby Ales » Tue Jun 14, 2016 1:12 pm

Hi, I have an unrestricted var model with 4 variables and 14 lags. I have autocorrelation in basically every lag. I tried to take the first difference of the variables but it didn't help. The only way to get rid of it was to include 24 lags but that is way too much.
How can I get rid of the autocorrelation? Any help is appreciated
Top
dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: Autocorrelation in VAR model

Postby dakila » Tue Jun 14, 2016 3:40 pm

Did you seasonally adjust the data?
Top
Ales
Posts: 8
Joined: Tue May 24, 2016 3:51 am

Re: Autocorrelation in VAR model

Postby Ales » Wed Jun 15, 2016 12:37 am

yes, I did. Hopefully correctly
Top
dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: Autocorrelation in VAR model

Postby dakila » Wed Jun 15, 2016 1:37 am

Could you describe the data more detail? Is it monthly or daily data?
Top
Ales
Posts: 8
Joined: Tue May 24, 2016 3:51 am

Re: Autocorrelation in VAR model

Postby Ales » Wed Jun 15, 2016 1:44 am

It is monthly data on inflation, real interest rates, real stock returns, and industrial production growth for past 50 years
Top
Post Reply

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests