VAR model in stata Part 1

VAR model in stata part 1. Learn how to estimate and interpret var model stata. In this tutorial I show you step by step how to run and interpret var model in stata. Learn all you need to know about var models in stata.

The video tutorial is about estimating VAR models in Stata, split into two parts. Part one covers an overview of VAR models, including stationarity, lag length criteria, and the Granger causality test. VAR models generalize univariate or regressive models by allowing multivariate time series. Christopher Sims imposed the popularity of VAR models because of his research paper from 1980. The tutorial also provides a formal representation of VAR models and discusses its assumptions. The video concludes with an example of a bivariate VAR model with unemployment and the fed fund rate for the USA. The example shows how to set up the model and how to review how the Fed responds to unemployment shocks by changing the fed fund rate.

✅ Topics covered in var model in stata: what is the var model? what are the requirements to estimate a var model? Formal representation of a var model. Check for stationarity. How to estimate var model in stata. How to select the lag lenght of the var model. Granger causality Test. VAR stability conditions.

📣 Get the complete package for learning VAR models in Stata! Purchase the slides used in the video, along with the complete Stata Do File and Dataset at:https://jdeconomicstore.com/b/var-mod...

📈 You can also download the dataset for free and replicate the content of the video at:
https://jdeconomicstore.com/b/var-mod...

✅ This video is part of a FREE STATA Course. See the full course outline at:
https://www.jdeconomics.com/stata-tut...

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📺 VAR Models in Stata video PART 2:    • VAR model in stata part 2  

📺Forecast VAR models with confidence bands:
   • VAR Model Example in STATA  

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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Introduction 0:00
📊 VAR Models Overviews 1:09
📊 VARS Formal Representation 2:37
📊 Our Example 4:22
📊 Stationarity in Stata 6:32
📊 How to Estimate the VAR 10:28
📊 Lag Length Criteria 11:45
📊 VAR Stability Conditions 13:34
📊 Residual Diagnostics 15:15
📊 Granger Causality Test 17:48
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✅ Other Useful Links:

🎬Intro to VAR Models in EViews:
   • How to estimate and interpret VAR mod...  

🎬 Impulse Response Functions and variance decomposition in Eviews:
   • Impulse response function and Varianc...  

Interested in learning more?

🎬 Learn how to write your research paper in a professional format in Latex with Overleaf:    • Latex with Overleaf Tutorial/Course  

🎬 Very helpful EViews course:
   • Applied Time Series Analysis: Free Ev...  
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Please leave your comments!
Thanks a lot!

Juan D'Amico
Economist
JDEconomics

#varmodel #timeseries #impulseresponse #stata #forecast