Multivariate Time Series Analysis in R
Instruction: Explain the process of performing multivariate time series analysis in R, including data preparation, modeling, and interpretation.
Context: This question tests the candidate's ability to handle and analyze time series data involving multiple variables in R.
Updated
Official answer available
Read the opening below, then unlock the full answer and practical guidance.
Align the series by an explicit time grid, frequency, timezone and publication availability. Define missing-period and revision policies; do not fill a historical feature with data that only became available later. Scaling can help numerical conditioning or regularized models, but is not universally necessary for every VAR analysis and must be fitted on training history.
A vector autoregression models each series using lagged values of all included series...