time-series-econometrics

What problem does it solve?

This Skill helps you analyze multivariate time series in economics by estimating dynamic relationships, testing predictive causality, and identifying long-run comovement through cointegration.

Core Features & Use Cases

• VAR modeling & diagnostics: Fit VAR(p), select lag order via information criteria, and check stability to ensure sensible dynamics.
• Causality & cointegration testing: Run Granger causality tests for predictive influence and Johansen cointegration tests for shared long-run trends.
• Dynamic adjustment & interpretation: Estimate VECM for cointegrated systems and produce impulse response functions (IRFs) and forecast error variance decomposition (FEVD) to interpret shocks.
• Use Case: You have quarterly GDP, inflation, interest rates, and exchange rates and want to quantify how shocks propagate, whether variables Granger-cause each other, and whether they share cointegrating relationships.

Quick Start

Use the time-series-econometrics Skill to fit a multivariate time series VAR, test Granger causality, run Johansen cointegration, estimate a VECM if cointegrated, and generate IRF/FEVD plots for interpretation and forecasting.