I am sort of new to time series, and I am jumping right into modeling one time series in terms of past values of itself as well as other time series. Simply from visualizing the predictor time series, it appears that two of them are related in some way or have some similarities. I know the issue of collinearity is relevant in linear models, and I was wondering how that is dealt with in vector autoregression (either on a conceptual level or in r specifically)? How is impulse response affected by this collinearity, and is there anything to address it?
2026-02-22 23:07:51.1771801671
Collinearity in Vector Autoregression and Impulse Response (Time Series)
138 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail At
1
There are 1 best solutions below
Related Questions in STATISTICS
- Given is $2$ dimensional random variable $(X,Y)$ with table. Determine the correlation between $X$ and $Y$
- Given $U,V \sim R(0,1)$. Determine covariance between $X = UV$ and $V$
- Fisher information of sufficient statistic
- Solving Equation with Euler's Number
- derive the expectation of exponential function $e^{-\left\Vert \mathbf{x} - V\mathbf{x}+\mathbf{a}\right\Vert^2}$ or its upper bound
- Determine the marginal distributions of $(T_1, T_2)$
- KL divergence between two multivariate Bernoulli distribution
- Given random variables $(T_1,T_2)$. Show that $T_1$ and $T_2$ are independent and exponentially distributed if..
- Probability of tossing marbles,covariance
- Can I measure the variance of an integral estimate?
Related Questions in TIME-SERIES
- Expected Value of a time series model
- Calculating the Mean and Autocovariance Function of a Piecewise Time Series
- Autocovariance of a Sinusodial Time Series
- Why do we use a sequence of random variables to model **Univariate** Time Series?
- Calculating the conditional probability of a location given a specific time frame
- Determining first element of an AR1 model
- Finding ACVF of An AR(3) Process
- Question on limiting form of Doob's submartingale inequality
- $x_t = A\sin(t) + B\cos(t)$ is deterministic
- Explaining the fit of Correlation and Covariance in AR and MA models
Related Questions in VECTOR-AUTO-REGRESSION
- Determining first element of an AR1 model
- Collinearity in Vector Autoregression and Impulse Response (Time Series)
- Can an autoregressive process of order $k$ be expressed as a $k$-step Markov chain?
- AR(1) to Ornstein-Uhlenbeck for AR(1) process of the form $\ln z_{t+1}=\rho \ln z_t+\sigma \sqrt{(1-\rho^2)}\epsilon_t$
- High F-Statistic Value and negative Probability for Granger Causality Result, Interpretation?
- Running coint_johansen cointegration test gives : LinAlgError: Matrix is not positive definite
- How do I derive the following expression for the sum of orthogonal matrices?
- Random Coefficient AR(1) and Kalman filtering
- Precision matrix of AR(2) matrix
- Understanding Moving Average Models
Trending Questions
- Induction on the number of equations
- How to convince a math teacher of this simple and obvious fact?
- Find $E[XY|Y+Z=1 ]$
- Refuting the Anti-Cantor Cranks
- What are imaginary numbers?
- Determine the adjoint of $\tilde Q(x)$ for $\tilde Q(x)u:=(Qu)(x)$ where $Q:U→L^2(Ω,ℝ^d$ is a Hilbert-Schmidt operator and $U$ is a Hilbert space
- Why does this innovative method of subtraction from a third grader always work?
- How do we know that the number $1$ is not equal to the number $-1$?
- What are the Implications of having VΩ as a model for a theory?
- Defining a Galois Field based on primitive element versus polynomial?
- Can't find the relationship between two columns of numbers. Please Help
- Is computer science a branch of mathematics?
- Is there a bijection of $\mathbb{R}^n$ with itself such that the forward map is connected but the inverse is not?
- Identification of a quadrilateral as a trapezoid, rectangle, or square
- Generator of inertia group in function field extension
Popular # Hahtags
second-order-logic
numerical-methods
puzzle
logic
probability
number-theory
winding-number
real-analysis
integration
calculus
complex-analysis
sequences-and-series
proof-writing
set-theory
functions
homotopy-theory
elementary-number-theory
ordinary-differential-equations
circles
derivatives
game-theory
definite-integrals
elementary-set-theory
limits
multivariable-calculus
geometry
algebraic-number-theory
proof-verification
partial-derivative
algebra-precalculus
Popular Questions
- What is the integral of 1/x?
- How many squares actually ARE in this picture? Is this a trick question with no right answer?
- Is a matrix multiplied with its transpose something special?
- What is the difference between independent and mutually exclusive events?
- Visually stunning math concepts which are easy to explain
- taylor series of $\ln(1+x)$?
- How to tell if a set of vectors spans a space?
- Calculus question taking derivative to find horizontal tangent line
- How to determine if a function is one-to-one?
- Determine if vectors are linearly independent
- What does it mean to have a determinant equal to zero?
- Is this Batman equation for real?
- How to find perpendicular vector to another vector?
- How to find mean and median from histogram
- How many sides does a circle have?
You should take a look at Grange Cuasility for association of two time-series. There is a simple package in R to implement this.