[R] Vector Autoregeressive Models: Adequation tests to perform

Zebouni, Stephane (Exchange) SZebouni at bear.com
Mon Mar 13 16:01:21 CET 2006



I am currently testing a Vector AR of dim 3 over not a lot of data (135
* 3 observations) . To test the adequation of my vecot ar, I use the
Schwarz Bayesian Criterion and the classic modified Portmanteau test on
the residuals (it can be found for instance in
http://www.iue.it/PUB/ECO2004-8.pdf , page 15) -> the null hypothesis is
"the residuals process are a vectorila white noise process with
covariance matrix the one obtained from model calibration". I use the
mAr package.


My question is more statistical than purely r - related: If my order p
is, say, 12, what lag should I use in my portmanteau test? What is
usually  done in practice? 

And are there other tests that can be performed to judge the adequation
of the model?


Many thanks 

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