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monyakenes/VAR-model-construction

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VAR(9).R
VAR(9).R
 
 
sp500_data.xlsx
sp500_data.xlsx
 
 

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This code lets you conduct the following commands: VAR model creation, simplification, checking, prediction, Impulse Response Function, Granger Causality.

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var granger-causality impulse-response-function
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