help on vector auto-regressive model

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help on vector auto-regressive model

Luna Moon
Hi all,


I am asking this for my friend.


In VAR models, how do we test the goodness-of-fit of a VAR model?  More
specifically in R?


Moreover, are there assumptions on the joint distribution of the data in the
model?


Thanks a lot!

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Re: help on vector auto-regressive model

Arun.stat
Goodness to fit can be checked on looking at the PACF and/or ACF of estimated residuals. Also you might want to see how valid the normality assumption is on them.

Generally joint normality is assumed on the data, so that innovation are multivariate white noise process.


Luna Moon wrote
Hi all,


I am asking this for my friend.


In VAR models, how do we test the goodness-of-fit of a VAR model?  More
specifically in R?


Moreover, are there assumptions on the joint distribution of the data in the
model?


Thanks a lot!

        [[alternative HTML version deleted]]

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.