A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation

Alan Mustafa, Abdulnasser Hatemi-J

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)208-220
    Number of pages13
    JournalApplied Computing and Informatics
    Volume18
    Issue number3-4
    DOIs
    Publication statusPublished - Jun 21 2022

    Keywords

    • HJC information criterion
    • MS excel
    • Optimal lag order
    • Simulation in instructional design
    • The vector autoregression (VAR) model
    • VBA

    ASJC Scopus subject areas

    • Software
    • Information Systems
    • Computer Science Applications

    Fingerprint

    Dive into the research topics of 'A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation'. Together they form a unique fingerprint.

    Cite this