A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation

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.

Keywords

• The vector autoregression (VAR) model
• HJC information criterion
• Optimal lag order
• MS excel
• VBA
• Simulation in instructional design