Programming the statistical procedures from SAS

Vector autogressive model

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Vector autogressive model

I would like to carry out a vector auto-regressive model to examine lead lag of returns. The model is as follows:

Via the model, I would like to calculate the adjusted R2 for each above equation and examine below hypotheses via Wald test statistics:

1. Ho: b1 = 0;

2. Ho: b1+b2=0;

3. Ho: c1 = 0;

4. Ho: c1+c2=0;

5. Ho: b1+b2 = c1+c2;

6. Ho. b1=b2=0 (Granger test);

7. Ho. c1=c2=0 (Granger test);

The data is included below. Please kindly support.

Thank you and best regards.

DATERARB
6/15/20120.190.29
6/16/20120.190.29
6/17/20120.20.3
6/18/20120.20.3
6/19/20120.210.31
6/20/20120.210.31
6/21/20120.20.3
6/22/20120.190.29
6/23/20120.190.29
6/24/20120.190.29
6/25/20120.190.29
6/26/20120.20.3
6/27/20120.20.3
6/28/20120.20.3
6/29/20120.20.3
6/30/20120.190.29
7/1/20120.210.31
7/2/20120.210.31
7/3/20120.190.29
7/4/20120.20.3
7/5/20120.210.31
7/6/20120.210.31
7/7/20120.210.31
7/8/20120.240.34
7/9/20120.250.35
7/10/20120.250.35
7/11/20120.250.35
7/12/20120.240.34
7/13/20120.240.34
7/14/20120.240.34
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