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I have a bivariate time series z_t where z_1t is the change in monthly US treasury bills (maturity 3 months) and z_2t the inflation rate, in percentage, of the U.S. monthly consumer price index (CPI). CPI used is the consumer price index for all urban consumers: all items (CPIAUCSL). The original data are downloaded from the Federal Reserve Bank of St.Louis. The CPI rate is 100 times the first difference of the log CPI index. I want to fit the specified VAR model and simplify the fit by a command R (refVar from package MTS or restrict from package vars) with threshold 1.65.

I found this exercise (pdf) on R. Tsay's website at the University of Chicago. The data are here.

What I did until now is the following:

y <- diff(zt[,3])
lot(y, type="l", ylab="tb3m")

 # difference 
x <- diff(log(zt[,4]))
plot(x, type="l", ylab="CPI rate")

new <- cbind(x, y)
 # order selection gives VAR(6)
VARselect(new, lag.max=9, type="const")

data1 <- data[,c("tb3m","cpiaucsl")]
fit   <- VAR(data1,p=6)
fit

restrict(fit, method="ser", thresh=1.65, resmat=T)

restrict and VAR don't give me the right results or the same coefficients of the Var model in the answers in the pdf.

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closed as off-topic by mkt, kjetil b halvorsen, mdewey, Peter Flom Dec 3 '18 at 10:30

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After you fit your model using:

fit <- VAR(data1,p=6)

You can refine it with refVAR:

fit2 <- refVAR(fit,thres=1.65)
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  • 4
    $\begingroup$ Welcome to CV and many thanks for your first contribution. I've made some small edits (so too has @gung) where I removed the greeting and signature. More information about answering questions can be found at the help centre (stats.stackexchange.com/help) and in reference to greetings and signatures, see here: stats.stackexchange.com/help/behaviour. Again, welcome along to CV! :) $\endgroup$ – Graeme Walsh Mar 1 '15 at 2:04
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    $\begingroup$ Could you expand on your answer a little, such as explaining what refVAR does? $\endgroup$ – Glen_b Mar 1 '15 at 2:29

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