Goodness to fit can be checked on looking at the PACF and/or ACF of estimated
residuals. Also you might want to see how valid the normality assumption is
on them.
Generally joint normality is assumed on the data, so that innovation are
multivariate white noise process.
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]]
>
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> and provide commented, minimal, self-contained, reproducible code.
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>
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