TY - JOUR
T1 - A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation
AU - Mustafa, Alan
AU - Hatemi-J, Abdulnasser
N1 - Funding Information:
The authors would like to express their gratitude to the editor of this journal and four anonymous reviewers for their valuable comments that resulted in improving the paper significantly. However, the usual disclaimer applies. The publisher wishes to inform readers that the article “A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation” was originally published by the previous publisher of Applied Computing and Informatics and the pagination of this article has been subsequently changed. There has been no change to the content of the article. This change was necessary for the journal to transition from the previous publisher to the new one. The publisher sincerely apologises for any inconvenience caused. To access and cite this article, please use Mustafa, A., Hatemi-J, A. (2020), “A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation”, New England Journal of Entrepreneurship. Vol. 18 No. 3/4, pp. 208-220. https://10.1016/j.aci.2019.04.003. The original publication date for this paper was 09/05/2019
Publisher Copyright:
© 2019, Alan Mustafa and Abdulnasser Hatemi-J.
PY - 2022/6/21
Y1 - 2022/6/21
N2 - 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.
AB - 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.
KW - HJC information criterion
KW - MS excel
KW - Optimal lag order
KW - Simulation in instructional design
KW - The vector autoregression (VAR) model
KW - VBA
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U2 - 10.1016/j.aci.2019.04.003
DO - 10.1016/j.aci.2019.04.003
M3 - Article
AN - SCOPUS:85065764441
SN - 2634-1964
VL - 18
SP - 208
EP - 220
JO - Applied Computing and Informatics
JF - Applied Computing and Informatics
IS - 3-4
ER -