[R] P value of VAR model from Portmanteau Test

Dhivya Narayanasamy dhiv.shreya at gmail.com
Tue May 23 14:08:49 CEST 2017


I am working with bivariate time series data. I used VAR model to fit and
But the "*p*" value from seria.test (Portmanteau Test) gives values *p<<
0.05*. Is that okay?

> var1 = VAR(datax.ts, p= 8)
> serial.test(var1, lags.pt=10, type = "PT.asymptotic")

Portmanteau Test (asymptotic)

data:  Residuals of VAR object var1
Chi-squared = 23.724, df = 8, p-value = 0.002549

Am i doing it correct? or Is this wrong? Should the value of P supposed to
be greater than >> 0.05 ?  When i forecast this VAR model, it gives *flat
forecast* which is again wrong. Please help me.

Regards| Mit freundlichen Grüßen,
> Dhivya Narayanasamy

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