Implementing VAR (vector Auto Regression)



hi all,

can i get to know how to implement VAR in R ? also concept of VAR.
i have tried ARIMA model for stock prediction and it is not giving accurate results.
wanted to explore VAR and understand if it works better.
many thanks in advance.


If you wan to model a time series with the effect of exogenous variables, I’d suggest you to go with ARIMA with external variables or use “XREG” argument in the ARIMA function. Variable auto-regression in itself is little complex topic to explain and implement.



thanks @gauravpandey.pgpm17c. would try and get back for any issues/clarifications.