Original title: Vektorová autoregrese
Translated title: Vector autoregression
Authors: Jelenčiak, Jakub ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
Document type: Bachelor's theses
Year: 2022
Language: slo
Abstract: [eng] [cze]
Vector autoregression model VAR belongs to the most used multiple time series models mainly in field of financial econometrics. The main role of this text is to survey basic theory of VAR models and to illustrate application of theory on real data. At first the properties of multiple time series and basic linear models are described. Then we focus on the VAR model, more specifically on its description, construction and application. In the construction subsection our primary focus is on the order identification, model estimation by OLS method and diagnostics. In the diagnostics basic assumptions of the model are checked, more specifically stationarity, correlation of the residuals and normality. In applications we focus on explanation and description of Granger causality. In the last section previously described theory is applicated on real data in two examples. On them we illustrate construction of the VAR model. Furthermore, in the second example we also analyze causality and discuss the results. 1 Vektorový autoregresný model VAR patrí medzi najpoužívanejšie viacrovnicové mo- dely hlavne v oblasti finančnej ekonometrie. Hlavnou úlohou tejto práce je spracovanie základnej teórie VAR modelov a ilustrácia aplikácie teórie na reálnych dátach. Na za- čiatku práce popíšeme vlastnosti viacrozmerných časových radov a uvedieme k nim zá- kladné lineárne modely. Následne sa podrobne venujeme modelu VAR, a to jeho popisu, konštrukcii a aplikácii. V konštrukcii sa zameriavame hlavne na identifikáciu rádu, odhad modelu pomocou OLS metódy a diagnostiku. V rámci diagnostiky overujeme základné predpoklady modelu, a to stacionaritu, nekorelovanosť rezíduí a normalitu. V aplikácii sa zameriavame hlavne na popis a vysvetlenie Grangerovej kauzality. V poslednej časti aplikujeme zavedenú teóriu na reálne dáta v dvoch príkladoch. Ilustrujeme na nich kon- štrukciu modelu VAR. V druhom príklade navyše analyzujeme kauzalitu a diskutujeme nadobudnuté výsledky. 1
Keywords: vector autoregression|VAR|system of econometric equations; vektorová autoregrese|VAR|soustava ekonometrických rovnic

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/174308

Permalink: http://www.nusl.cz/ntk/nusl-506908


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses