[R] P value of VAR model from Portmanteau Test

[Rui Barradas]

Hello,

It seems to be right.
You have Chi-squared = 23.724, df = 8, p-value = 0.002549. So try the R 
function ?pchisq:

pchisq(23.724, df = 8, lower = FALSE)
[1] 0.002549054

Hope this helps,

Rui Barradas

Em 23-05-2017 13:08, Dhivya Narayanasamy escreveu:
> Hi,
>
> I am working with bivariate time series data. I used VAR model to fit and
> forecast.
> 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
>>
>
> 	[[alternative HTML version deleted]]
>
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