
INVESTIGATION OF ORDER SELECTION IN THE VECTOR AUTOREGRESSION MODEL
(STEF92 Technology, 2020-09-20, D. A. Petrusevich)
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The econometrical time series are under investigation in this paper. The mathematical models describing connections between two time series in the form of VAR(p), Vector Autoregression, models are investigated. Their connection is confirmed by means of cointegration tests. If connected time series are described with some models (here the ARIMA, Autoregressive integrated moving average, models) with certain lag orders it?s assumed that maximal orders of ARIMA models are the upper limits for the orders of the VAR mo...
