A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation
In this study, a tool has been designed and developed for learning about the concept of lag order within a dynamic model, which can be used in any teaching classes on statistics and financial data computation. To show a solution for a complex and multi-step process of finding the optimal lag order f...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2022-06-01
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| Series: | Applied Computing and Informatics |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1016/j.aci.2019.04.003/full/pdf |
| Summary: | In this study, a tool has been designed and developed for learning about the concept of lag order within a dynamic model, which can be used in any teaching classes on statistics and financial data computation. To show a solution for a complex and multi-step process of finding the optimal lag order for multiple variables data series based on an information criterion a module using Visual Basic for Applications (VBA) for Microsoft Excel (MS Excel) is being developed. This module can be used for estimating a multivariate dynamic model as well as determining the optimal lag order of such a model. |
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| ISSN: | 2634-1964 2210-8327 |