[R] Multivariate time series

[Pfaff, Bernhard Dr.]

Hello Giusy,

in addition to Frank's suggestion you might want to specify and estimate
a VECM (function ca.jo() in package urca). This object can be
transformed to its level-VAR representation (function vec2var() in
package vars) for which a predict-method exists (fan charts can be
generated too). The advantage of this approach compared to a pure
VAR-modeling (in levels or first differences, depending on the
stationarity of your series in question) is, that you might capture the
long-run relationship between your price series (arbitrage-condition?).

Best,
Bernhard

>
>You may want to have a look at the vars package
>Frank
>
>Giusy schrieb:
>> Hello to everyone!
>> I have a question for you..I need to predict multivariate 
>time series, for
>> example sales of 2 products related one to the other, having 
>the 2 prices
>> like inputs..
>> Is there in R a function to do it? I saw dse package but I 
>didn't find what
>> a I'm looking for..
>> Could anyone help me?
>> Thank you very much
>> Giusy
>>
>
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