[R] P value of VAR model from Portmanteau Test
ruipbarradas at sapo.pt
Tue May 23 15:36:06 CEST 2017
It seems to be right.
You have Chi-squared = 23.724, df = 8, p-value = 0.002549. So try the R
pchisq(23.724, df = 8, lower = FALSE)
Hope this helps,
Em 23-05-2017 13:08, Dhivya Narayanasamy escreveu:
> 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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