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

doi:10.1016/j.aci.2019.04.003

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 journal › Article › peer-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 language	English
Pages (from-to)	208-220
Number of pages	13
Journal	Applied Computing and Informatics
Volume	18
Issue number	3-4
DOIs	https://doi.org/10.1016/j.aci.2019.04.003
Publication status	Published - Jun 21 2022
Externally published	Yes

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

Access to Document

10.1016/j.aci.2019.04.003

Cite this

@article{98f6b1a10d0d479ab24c5fc7b159a153,

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

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.",

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

author = "Alan Mustafa and Abdulnasser Hatemi-J",

note = "Publisher Copyright: {\textcopyright} 2019, Alan Mustafa and Abdulnasser Hatemi-J.",

year = "2022",

month = jun,

day = "21",

doi = "10.1016/j.aci.2019.04.003",

language = "English",

volume = "18",

pages = "208--220",

journal = "Applied Computing and Informatics",

issn = "2634-1964",

publisher = "Emerald Group Publishing Ltd.",

number = "3-4",

}

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

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

UR - http://www.scopus.com/inward/record.url?scp=85065764441&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85065764441&partnerID=8YFLogxK

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 -

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

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this