Implementing VAR (vector Auto Regression)

r
machine_learning

#1

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.


#2

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.

Peace.


#3

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