Franziska Weis

2 Questions 3 Answers 0 Followers

Questions related from Franziska Weis

Transform variables to stationarity - Growth rate or differences?

I am running a VAR with a single stock price and a sentiment measure as endogenous variables, and the DAX, the IMX (real estate index), industry turnover, wages and unemployment as exogenous...

02 September 2019 2,784 12 View

Is non-normality in VAR with 142 observations a problem?

Hi everyone, my VAR Residual normality test shows non-normality for component 1 and 2 as well as joint. The model is a VAR with 2 dependent (stock price and sentiment measure) and 5 independent...

02 September 2019 8,684 2 View