Hi,
I am working with bivariate time series data. I used VAR model to fit and
forecast.
But the "*p*" value from seria.test (Portmanteau Test) gives values *p<<
0.05*. Is that okay?
> var1 = VAR(datax.ts, p= 8)
> serial.test(var1, lags.pt=10, type = "PT.asymptotic")
Portmanteau Test (asymptotic)
data: Residuals of VAR object var1
Chi-squared = 23.724, df = 8, p-value = 0.002549
Am i doing it correct? or Is this wrong? Should the value of P supposed to
be greater than >> 0.05 ? When i forecast this VAR model, it gives *flat
forecast* which is again wrong. Please help me.
Regards| Mit freundlichen Grüßen,
> Dhivya Narayanasamy
>
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