XL Edge Guide · Multivariate Time Series
Multivariate time series: series that move together
Sales, prices and volumes, or GDP, consumption and investment, do not move independently. Each responds to its own past and to the others'. A vector autoregression (VAR) models that web in a few formulas: which series lead, how a shock spreads, and where they are all heading, with honest bands around the forecast.
What the guide covers
In this guide
- 1What a VAR is
- 2The workflow at a glance
- 3Using the ribbon
- 4Step 1. Levels or growth rates? fx.RiskUnitRootλ
- 5Step 2. How many lags? fx.RiskVARSelectλ
- 6Step 3. Fit the VAR and read it: fx.RiskVARFitλ, fx.RiskVARSummaryλ
- 7Step 4. Is the model sound?
- 8Step 5. How shocks travel: fx.RiskVARIRFλ, fx.RiskVARFEVDλ
- 9Step 6. Forecasts, paths and backtests
- 10Leads and lags: fx.RiskCCFλ
- 11Cointegration and the VECM
- 12Pitfalls and good practice
- 13Function reference
What it uses
- Functions
fx.RiskVARSelectλfx.RiskVARFitλfx.RiskVARSummaryλfx.RiskVARStabilityλfx.RiskGrangerλfx.RiskVARIRFλfx.RiskVARFEVDλfx.RiskVARForecastλfx.RiskVARSimλfx.RiskVARBacktestλfx.RiskVARPortmanteauλfx.RiskCCFλfx.RiskJohansenλfx.RiskVECMFitλfx.RiskVECMToVARλ- In the ribbon
- XL Edge tab › Productivity Tools › Stat Tools › Insert Time Series › Multivariate - VAR and cointegration
- Example workbook
- US real GDP, consumption and investment, 1959–2009 (public domain, FRED). Every number in the guide is read from it.
- Needs
- Excel for Microsoft 365. The workbook carries its own functions in Name Manager, so it calculates with or without XL Edge installed.
Inside
The first four pages
More XL Edge Guides
- BootstrapHow sure are your numbers?
- Confidence EllipseAn interval for two variables at once
- CopulaWhen your inputs move together
- CorrelogramReading a series' memory
- Monte CarloShould we build Plant 2?
- Outliers and LeverageFinding the observations that don't fit
- PortfolioThe efficient frontier in four formulas
- SARIMAForecasting a series with a yearly rhythm