Hi, Please read Time series Econometrics books and you will find out that acf and pacf are not to be used to determine whether or not a series is stationary. The question of nonstationarity or stationarity of a series is answered using the formal tests comprising ADF, PP, KPSS, etc.
I will let someone else (and I know that there is at least one such expert) deal with your question on VAR and tsDyn. Lexi -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of cloris Sent: Sunday, November 06, 2011 5:25 PM To: r-help@r-project.org Subject: [R] VAR and VECM in multivariate time series Hello to everyone! I am working on my final year project about multivariate time series. There are three variables in the multivariate time series model. I have a few questions: 1. I used acf and pacf plot and find my variables are nonstationary. But in adf.test() and pp.test(), the data are stationary. why? 2.I use VAR to get a model. y is the matrix of data set and I have made a once difference of it to make it stationary. library(tsDyn) VARselect(y,lag.max=20,type="const",season = NULL, exogen = NULL) y1=VAR(y, p = 16, type = c("const"), season = NULL, exogen = NULL, lag.max = NULL,ic = c("AIC")) summary(y1) plot(y1) How can I get estimation of AIC in this model? 3. I also get a VECM model v1=VECM(y, lag=16,beta=NULL, estim="ML") what does ETC mean in the output? and what is a number of cointegrating relationships? I want to make forecast by VECM. j=ca.jo(y,K=16,type='trace',season = NULL) j.var=vec2var(j) predict(j.var,n.ahead=80) Is this a correct way to predict VECM in R? Could anyone help me? Thank you very much -- View this message in context: http://r.789695.n4.nabble.com/VAR-and-VECM-in-multivariate-time-series-t p3995951p3995951.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. DISCLAIMER:\ Sample Disclaimer added in a VBScript.\ ...{{dropped:3}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
