1 year ago

#314232

test-img

Jorge Paredes

Plot VAR fitted values with original data R

Suppose you have a matrix of time series, where each column is a time series.

Now, suppose you take second differences of this matrix, (so the data is stationary), using this code:

var_train_data <- diff(var_train, differences = 2)

and then you estimate this model:

var_1 <- VAR(y=var_train_data, lag=9, type="const")

Recall that this function VARcomes from vars package.

How can you plot the original data and the fitted(var_1) data? Is there a function to return the fitted data from the VAR to "level"?

I want to do this but with a VAR.

Thanks in advance!!


Here is the data:

> dput(var_train)
structure(c(8.59225428063812, 8.61632381521795, 8.48941975098913, 
8.42616336163893, 8.4656261753598, 8.49981580266834, 8.50658473928686, 
8.54846279771184, 8.58669260125764, 8.56316032696837, 8.52323490346238, 
8.48186742854092, 8.48127581622944, 8.49729119076164, 8.49055049683316, 
8.58344453055748, 8.66539149708416, 7.9357662604667, 6.05291235942189, 
6.03890804924141, 5.98225560802266, 5.97240914057282, 5.94306180787981, 
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5.80529348520438, 5.8381279297813, 5.94886540621632, 5.89095336551159, 
5.78449385503938, 5.80588769759335, 5.70948049577085, 5.67528501375454, 
5.52325929980363, 5.31085745753021, 5.33500450854624, 5.3938341365814, 
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r

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