Adam Roble

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Questions related from Adam Roble

How can I test and correct my VAR model for heteroskedasticity and serial auto correlation?

Dears, I am running a var (1) model. My optimal lag selection criteria are giving me different optimal lags: AIC is giving me 4 lags as most of the other tests are. SBIC, however, is giving me...

04 February 2023 9,641 2 View

Can i apply VAR Model when all variables are Integrated at Level I(0) and test for Granger Causality?

Dears, I have two variables and all of them are integrated at order zero I(0) meaning they are stationary. Yet i want to apply VAR model, can i do that? if yes, could you please provide some...

10 January 2023 8,671 4 View