A vector auto-regression involves running two regressions, Ask an Expert

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Regarding the working of regression analysis in SPSS for the given data.

A. Run regressions on the 30-year and 5-year rates using only past information from the individual series.

B. Now run a Vector Auto-regression of the two interest rates together.

You should run a version for levels and a version for first differences.

A Vector Auto-regression involves running two regressions, one for each interest rate as a dependent variable, on the lags of both interest rates.

You can run a test for "Granger-causality" by examining whether any of the lags of other interest rate help describe the current behaviour of the first interest rate.

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Statistics and Probability, Statistics

Category:- Statistics and Probability
Reference No.:- M922820

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