help on vector auto-regressive model

Right it's good to mention if the question was asked on antoher list,
to avoid cross-posting.

I'm not convinced by the answer there, neither by the question itself:
I'm indeed not sure goodness of fit is a relevant notion for time
series data.

To the answer: ACF/PACF and normality tests just tell you if you the
assumption needed for inference seem to hold or not. In analogy to the
usual linear regression case, this is not the point whe nassesing
goodness of fit I believe.

To the question: for time series model where you add lags, indicators
such R^2 go to 1 due to the presence of the lagged variables, so are
not indicative... You may still look at individual R^2 and make
comparisons which variable is well explained in the model and which is
not (for that rather use FEVD maybe)... But overall R^2 does not exist
to my knowledge (nor makes sense in my opinion).

Well this is rather a personal view...

Hope this helps

Mat

2009/8/24 Megh Dal <megh700004 at yahoo.com>:

this question was asked (and answered) on
http://www.nabble.com/help-on-vector-auto-regressive-model-td25099737.html

If anyone post the same question in multiple forums then it would be
always courtesy to mention that like, same question was there in so-so
forums and no satisfactory answers were provided. It would also be good
to mention why it is not satisfactory. When an expert answer an query he
spends (I would say invest) lot of times on that and therefore after
spending so much time on that, suddenly he might discover that was
already answered. Therefore if it is mentioned that was already posted in
some other places then he might look into that and perhaps can provide a
better solution.

I do agree that ""Nabble R ?Forum" is not a mailing list by itself"
however I did not mean that even, rather meant to say, it was already
answered in r-help (address given above).

Thanks

--- On Mon, 8/24/09, spencerg <spencer.graves at prodsyse.com> wrote:

From: spencerg <spencer.graves at prodsyse.com>
Subject: Re: [R-SIG-Finance] [R-sig-finance] help on vector
auto-regressive model
To: "megh" <megh700004 at yahoo.com>
Cc: r-sig-finance at stat.math.ethz.ch
Date: Monday, August 24, 2009, 7:01 PM
Hi, Megh:


? ? ? What do you mean by "R-forum", and how
can I search it?


? ? ? I just searched the "Nabble R Forum"
for "goodness-of-fit in a VAR
model", and didn't see anything that looks like this.
I did see copies
of this question asked on R-help and Rmetrics.
However, the "Nabble R
Forum" is not a mailing list by itself on which people ask
questions, as
your comment seems to imply, but a search facility like
"RSiteSearch"
for the archives from "R help", "Rmetrics", "R devel", and
"Rcom-l".? I
also tried RSiteSearch, with the same negative results.


? ? ???What is the question and
answer to which you referred?


? ? ? Thanks,
? ? ? Spencer Graves


megh wrote:

I guess same question was asked in R-forum and already

answered. Before

throwing same question in different forum you better

follow it up properly.

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

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