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

8 Citations (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
Externally publishedYes

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

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