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Autocorrelation in VAR model
Posted: Tue Jun 14, 2016 1:12 pm
by Ales
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
Re: Autocorrelation in VAR model
Posted: Tue Jun 14, 2016 3:40 pm
by dakila
Did you seasonally adjust the data?
Re: Autocorrelation in VAR model
Posted: Wed Jun 15, 2016 12:37 am
by Ales
yes, I did. Hopefully correctly
Re: Autocorrelation in VAR model
Posted: Wed Jun 15, 2016 1:37 am
by dakila
Could you describe the data more detail? Is it monthly or daily data?
Re: Autocorrelation in VAR model
Posted: Wed Jun 15, 2016 1:44 am
by Ales
It is monthly data on inflation, real interest rates, real stock returns, and industrial production growth for past 50 years