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

    4 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

    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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