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

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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10.1016/j.aci.2019.04.003

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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.",

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

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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

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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

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