[R-SIG-Finance] [R-sig-finance] help on vector auto-regressive model

[Bogaso]

By R-square, if you meant to say, how much variance is explained by the
explanatory variables then, I would like to suggest to see Forecast variance
decomposition.



matifou wrote:
> 
> Right it's good to mention if the question was asked on antoher list,
> to avoid cross-posting.
> 
> I'm not convinced by the answer there, neither by the question itself:
> I'm indeed not sure goodness of fit is a relevant notion for time
> series data.
> 
> To the answer: ACF/PACF and normality tests just tell you if you the
> assumption needed for inference seem to hold or not. In analogy to the
> usual linear regression case, this is not the point whe nassesing
> goodness of fit I believe.
> 
> To the question: for time series model where you add lags, indicators
> such R^2 go to 1 due to the presence of the lagged variables, so are
> not indicative... You may still look at individual R^2 and make
> comparisons which variable is well explained in the model and which is
> not (for that rather use FEVD maybe)... But overall R^2 does not exist
> to my knowledge (nor makes sense in my opinion).
> 
> Well this is rather a personal view...
> 
> Hope this helps
> 
> Mat
> 
> 2009/8/24 Megh Dal <megh700004 at yahoo.com>:
>> this question was asked (and answered) on
>> http://www.nabble.com/help-on-vector-auto-regressive-model-td25099737.html
>>
>> If anyone post the same question in multiple forums then it would be
>> always courtesy to mention that like, same question was there in so-so
>> forums and no satisfactory answers were provided. It would also be good
>> to mention why it is not satisfactory. When an expert answer an query he
>> spends (I would say invest) lot of times on that and therefore after
>> spending so much time on that, suddenly he might discover that was
>> already answered. Therefore if it is mentioned that was already posted in
>> some other places then he might look into that and perhaps can provide a
>> better solution.
>>
>> I do agree that ""Nabble R  Forum" is not a mailing list by itself"
>> however I did not mean that even, rather meant to say, it was already
>> answered in r-help (address given above).
>>
>> Thanks
>>
>> --- On Mon, 8/24/09, spencerg <spencer.graves at prodsyse.com> wrote:
>>
>>> From: spencerg <spencer.graves at prodsyse.com>
>>> Subject: Re: [R-SIG-Finance] [R-sig-finance] help on vector
>>> auto-regressive model
>>> To: "megh" <megh700004 at yahoo.com>
>>> Cc: r-sig-finance at stat.math.ethz.ch
>>> Date: Monday, August 24, 2009, 7:01 PM
>>> Hi, Megh:
>>>
>>>
>>>       What do you mean by "R-forum", and how
>>> can I search it?
>>>
>>>
>>>       I just searched the "Nabble R Forum"
>>> for "goodness-of-fit in a VAR
>>> model", and didn't see anything that looks like this.
>>> I did see copies
>>> of this question asked on R-help and Rmetrics.
>>> However, the "Nabble R
>>> Forum" is not a mailing list by itself on which people ask
>>> questions, as
>>> your comment seems to imply, but a search facility like
>>> "RSiteSearch"
>>> for the archives from "R help", "Rmetrics", "R devel", and
>>> "Rcom-l".  I
>>> also tried RSiteSearch, with the same negative results.
>>>
>>>
>>>        What is the question and
>>> answer to which you referred?
>>>
>>>
>>>       Thanks,
>>>       Spencer Graves
>>>
>>>
>>> megh wrote:
>>> > I guess same question was asked in R-forum and already
>>> answered. Before
>>> > throwing same question in different forum you better
>>> follow it up properly.
>>> >
>>> >
>>> > Luna Moon wrote:
>>> >
>>> >> Hi all,
>>> >>
>>> >>
>>> >> I am asking this for my friend.
>>> >>
>>> >>
>>> >> In VAR models, how do we test the goodness-of-fit
>>> of a VAR model?  More
>>> >> specifically in R?
>>> >>
>>> >>
>>> >> Moreover, are there assumptions on the joint
>>> distribution of the data in
>>> >> the
>>> >> model?
>>> >>
>>> >>
>>> >> Thanks a lot!
>>> >>
>>> >>     [[alternative HTML version
>>> deleted]]
>>> >>
>>> >> _______________________________________________
>>> >> R-SIG-Finance at stat.math.ethz.ch
>>> mailing list
>>> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> >> -- Subscriber-posting only.
>>> >> -- If you want to post, subscribe first.
>>> >>
>>> >>
>>> >>
>>> >
>>> >
>>>
>>>
>>> --
>>> Spencer Graves, PE, PhD
>>> President and Chief Operating Officer
>>> Structure Inspection and Monitoring, Inc.
>>> 751 Emerson Ct.
>>> San José, CA 95126
>>> ph:  408-655-4567
>>>
>>>
>>
>>
>>
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>
> 
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
> 
> 

-- 
View this message in context: http://www.nabble.com/help-on-vector-auto-regressive-model-tp25104126p25117653.html
Sent from the Rmetrics mailing list archive at Nabble.com.