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")

[@thejakumari7587]

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

[@Creatinous]

Very well explained and massively helpful. Thanks a lot!

[@Philantrope]

Great tutorial. Thank you!!

[@Hanomics]

Thank you!

[@ignacioandresfernandezspul2812]

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

[@lucasgoncalves7331]

What a great tutorial! Thank you very much!

[@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.

[@futurdatascientist3851]

Very well explanation ,continue

[@kvafsu225]

Very very useful. Thank you.

[@Hanomics]

Glad it was helpful!

[@Joker-No-Commentary]

wow i just finished my essay in one hour THANKS!

[@liliansinyangwe9661]

Very useful videos!

[@luqmanabubakari4302]

Very concise but exhaustive presentation

[@florinaliu5489]

fantastic explanation , thank you

[@raulgodinez3638]

amazing bro, thanks you so much!

[@Hanomics]

You are welcome!

[@pitchas8261]

Thank you so much!

[@fvc1612]

Nice video. Plz a video of VECM estimation

[@fisheralfred6683]

Thanks professor

[@hamazonegirlonfire7800]

thanks for all

[@Hanomics]

Most welcome

[@chandankumargautam8039]

Any video for SVAR

[@cl3761]

thank you, it helps!

[@hodaelabbadi970]

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

[@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?

[@almontheralmonther9712]

جزاك الله كل خير

[@Hanomics]

جزانا واياكم

[@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.

[@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

[@OneGynFitness]

Thank you.

[@danteremagit9996]

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

[@Suwaniify]

Thank you!!

[@mattiasrodrigogallegosnovo5070]

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

[@yashpandey5484]

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

[@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.

[@chandankumargautam8039]

Thanks You

[@rimmeriem5883]

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

[@ronaldbaronirojasguerrero7831]

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

[@borknagarpopinga4089]

That'd be great

[@yaichewarda1229]

Please you have. VaR with lambda distribution

[@michaelhu8545]

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

[@The_Mindful_Scholar]

plz do for CaviaR model

[@nevergiveupallahwithyou9646]

Please sir provide us data

[@ciroweinstein8627]

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

[@billfrug]

y2 is the same as y1 should be y$y2

[@OpenMicDropNight]

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