[R-SIG-Finance] VAR Modelling

Stefan Grosse singularitaet at gmx.net
Tue May 5 14:43:04 CEST 2009

These questions suspiciously look like homework questions of an
introductionary econometrics class and there quite some good books to
answer them. Even a little use of google should answer them...

Please use the list if you have problems with the software. 

On Tue, 5 May 2009 15:05:12 +0530 Khalid Iqbal
<mdkhalidiqbal at gmail.com> wrote:

KI> 1) I calculated impulse response function keeping one series as
KI> impulse and other as response. I know the
KI>     theoretical interpretation of IRF but how to infer anything
KI> from the "irf" plot. Tell me as to how can I read the graph.
KI> 2) What should we do if the model fails multivariate normality
KI> tests like JB-test?
KI> 3) Would it be good if we take difference of two series (after
KI> adjusting them to be comparable on a common scale)
KI>     and then model the series using univariate techniques.
KI> 4) Would it be better if I take log(Pt / Pt-1) and then compare the
KI> 2 series.

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