[R] Forecast using VAR model

John C Frain frainj at gmail.com
Tue May 23 22:25:29 CEST 2017


Dhivya

You have two variables speed and vibration. It strikes me that speed causes
vibration and vibration does not cause speed. Forgive me if I have
misunderstood. In such a case you would be better off using an ARMAX model
with vibration as dependent variable and speed as an explanatory variable.
The fact that you have autocorrelation problems is an indication that your
var model is not a correct specification.  I note that there are many zeros
in your data set. Are these missed measurements or actual zeros. If they
are missing observations your analysis becomes much more complicated.

John C Frain
3 Aranleigh Park
Rathfarnham
Dublin 14
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie
mailto:frainj at gmail.com

On 22 May 2017 at 06:16, Dhivya Narayanasamy <dhiv.shreya at gmail.com> wrote:

> Hi Jon,
>
> sorry for the inconvenience. I have done it in plain text now.
>
> I am building a VAR model to forecast of bivariate time series. But it
> shows flat forecast and i am in need of correcting  it. Is there any way
> to correct this flat forecast?  or Do i have to go with other models?
>
> Code:
>
> > datax.zoo <- read.zoo(datax)
> > datax.ts <- ts(datax.zoo)
> > v1b <- VARselect(datax.ts, lag.max = 10, type = "const")
> > v1b$selection
> AIC(n)  HQ(n)  SC(n) FPE(n)
>     10      7      3     10
> > var7 = VAR(datax.ts, p=7)
> > serial.test(var7, lags.pt=10, type = "PT.asymptotic")
>
> Portmanteau Test (asymptotic)
>
> data:  Residuals of VAR object var7
> Chi-squared = 31.991, df = 12, p-value = 0.001388
>
> > gf1 <- forecast(var7, h = 600)
> > plot(gf1, main = "var7")
> > grangertest(datax.ts[,1] ~ datax.ts[,2], order = 7)
> Granger causality test
>
> Model 1: datax.ts[, 1] ~ Lags(datax.ts[, 1], 1:7) + Lags(datax.ts[, 2],
> 1:7)
> Model 2: datax.ts[, 1] ~ Lags(datax.ts[, 1], 1:7)
>   Res.Df Df      F    Pr(>F)
> 1   9968
> 2   9975 -7 20.852 < 2.2e-16 ***
> ---
> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
> > grangertest(datax.ts[,2] ~  datax.ts[,1], order = 7)
> Granger causality test
>
> Model 1: datax.ts[, 2] ~ Lags(datax.ts[, 2], 1:7) + Lags(datax.ts[, 1],
> 1:7)
> Model 2: datax.ts[, 2] ~ Lags(datax.ts[, 2], 1:7)
>   Res.Df Df      F   Pr(>F)
> 1   9968
> 2   9975 -7 3.0918 0.002948 **
> ---
> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
>
>
>
> The P value from "Portmanteau Test" is very much less than << 0.05 for
> lagged value 7. Is this correct?
> I have added my plot and raw data in the attachment for your further
> reference. Thank you.
>
>
>
> Regards| Mit freundlichen Grüßen,
>> Dhivya Narayanasamy
>
>
> Regards| Mit freundlichen Grüßen,
>
> Dhivya Narayanasamy
>
> Contact No: +91-8438505020 <+91%2084385%2005020>
>
> On Sun, May 21, 2017 at 5:40 PM, John C Frain <frainj at gmail.com> wrote:
>
>> It would be much easier to see what you are doing if you reposted in
>> plain text.
>>
>> John C Frain
>> 3 Aranleigh Park
>> Rathfarnham
>> Dublin 14
>> Ireland
>> www.tcd.ie/Economics/staff/frainj/home.html
>> mailto:frainj at tcd.ie
>> mailto:frainj at gmail.com
>>
>> On 21 May 2017 at 06:05, Dhivya Narayanasamy <dhiv.shreya at gmail.com>
>> wrote:
>>
>>> I am building a VAR model to forecast of bivariate timeseries. But it
>>> shows
>>> flat forecast.
>>>
>>> So I would like to use recursive window forecasting technique using VAR
>>> model. Will it give what i expect (Avoid flat forecast) ? or should i
>>> have
>>> to go with other package.
>>>
>>> > datax.zoo <- read.zoo(datax)> datax.ts <- ts(datax.zoo)> v1b <-
>>> VARselect(datax.ts, lag.max = 10, type = "const")> v1b
>>> $selection
>>> AIC(n)  HQ(n)  SC(n) FPE(n)
>>>      9      7      5      9
>>>
>>> $criteria
>>>                   1            2            3            4
>>> 5            6            7
>>> AIC(n)     9.686513     9.657172     9.632444     9.625856
>>> 9.621148     9.619425     9.615396
>>> HQ(n)      9.688951     9.661234     9.638131     9.633167
>>> 9.630085     9.629987     9.627583
>>> SC(n)      9.693514     9.668839     9.648778     9.646856
>>> 9.646815     9.649759     9.650397
>>> FPE(n) 16099.014774 15633.507506 15251.665643 15151.510512
>>> 15080.352425 15054.392389 14993.864861
>>>                   8            9           10
>>> AIC(n)     9.615430     9.615116     9.615990
>>> HQ(n)      9.629241     9.630552     9.633051
>>> SC(n)      9.655098     9.659451     9.664991
>>> FPE(n) 14994.366572 14989.661383 15002.762011
>>> > var7 = VAR(datax.ts, p=7)> serial.test(var7, lags.pt=10, type =
>>> "PT.asymptotic")
>>>
>>>     Portmanteau Test (asymptotic)
>>>
>>> data:  Residuals of VAR object var7Chi-squared = 22.745, df = 12,
>>> p-value = 0.02997
>>> > grangertest(datax.ts[,1] ~ datax.ts[,2], order = 7)Granger causality
>>> test
>>> Model 1: datax.ts[, 1] ~ Lags(datax.ts[, 1], 1:7) + Lags(datax.ts[,
>>> 2], 1:7)Model 2: datax.ts[, 1] ~ Lags(datax.ts[, 1], 1:7)
>>>   Res.Df Df      F    Pr(>F)    1   5686                        2
>>> 5693 -7 16.105 < 2.2e-16 ***---Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01
>>> ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1> grangertest(datax.ts[,2] ~  datax.ts[,1],
>>> order = 7)Granger causality test
>>> Model 1: datax.ts[, 2] ~ Lags(datax.ts[, 2], 1:7) + Lags(datax.ts[,
>>> 1], 1:7)Model 2: datax.ts[, 2] ~ Lags(datax.ts[, 2], 1:7)
>>>   Res.Df Df      F Pr(>F)1   5686                 2   5693 -7 1.5618
>>> 0.1418
>>> > g <- forecast(var7, h = 600)> plot(g)
>>>
>>>
>>> Also the 'P' value  from portmanteau test shows auto correlation is
>>> present
>>> is my VAR model. Here is my raw data you can find :
>>> https://drive.google.com/file/d/0B7I0DT-PiG4RenVkdXV3OFJLYVk
>>> /view?usp=sharing
>>>
>>>
>>> Thank you.
>>>
>>> Regards
>>> > Dhivya Narayanasamy
>>>
>>>         [[alternative HTML version deleted]]
>>>
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>>
>>
>>
>

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