MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Multivariate Time Series (MTS) is a general package for analyzing multivariate linear time series and estimating multivariate volatility models. It also handles factor models, constrained factor models, asymptotic principal component analysis commonly used in finance and econometrics, and principal volatility component analysis. (a) For the multivariate linear time series analysis, the package performs model specification, estimation, model checking, and prediction for many widely used models, including vector AR models, vector MA models, vector ARMA models, seasonal vector ARMA models, VAR models with exogenous variables, multivariate regression models with time series errors, augmented VAR models, and Error-correction VAR models for co-integrated time series. For model specification, the package performs structural specification to overcome the difficulties of identifiability of VARMA models. The methods used for structural specification include Kronecker indices and Scalar Component Models. (b) For multivariate volatility modeling, the MTS package handles several commonly used models, including multivariate exponentially weighted moving-average volatility, Cholesky decomposition volatility models, dynamic conditional correlation (DCC) models, copula-based volatility models, and low-dimensional BEKK models. The package also considers multiple tests for conditional heteroscedasticity, including rank-based statistics. (c) Finally, the MTS package also performs forecasting using diffusion index, transfer function analysis, Bayesian estimation of VAR models, and multivariate time series analysis with missing values.Users can also use the package to simulate VARMA models, to compute impulse response functions of a fitted VARMA model, and to calculate theoretical cross-covariance matrices of a given VARMA model.

AuthorRuey S. Tsay
Date of publication2015-02-12 17:29:18
MaintainerRuey S. Tsay <ruey.tsay@chicagobooth.edu>
LicenseArtistic License 2.0
Version0.33

View on CRAN

Man pages

apca: Asymptotic Principal Component Analysis

archTest: ARCH test for univariate time series

BEKK11: BEKK Model

Btfm2: Back-Test of a Transfer Function Model with Two Input...

BVAR: Bayesian Vector Autoregression

ccm: Cross-Correlation Matrices

comVol: Common Volatility

dccFit: Dynamic Cross-Correlation Model Fitting

dccPre: Preliminary Fitting of DCC Models

diffM: Difference of multivariate time series

Eccm: Extended Cross-Correlation Matrices

ECMvar: Error-Correction VAR Models

ECMvar1: Error-Correction VAR Model 1

EWMAvol: Exponentially Weighted Moving-Average Volatility

FEVdec: Forecast Error Variance Decomposition

GrangerTest: Granger Causality Test

hfactor: Constrained Factor Model

ibmspko: Monthly simple returns of the stocks of International...

Kronfit: Fitting a VARMA Model via Kronecker Index

Kronid: Kronecker Index Identification

Kronspec: Kronecler Index Specification

MarchTest: Multivariate ARCH test

MCHdiag: Multivariate Conditional Heteroscadastic Model Cheking

MCholV: Multivariate Cholesky Volatility Model

Mlm: Multivariate Linear Model

mq: Multivariate Ljung-Box Q Statistics

msqrt: Square Root Matrix

mtCopula: Mulivariate t-Copula Volatility Model

MTSdiag: Multivariate Time Series Diagnostic Checking

MTS-internal: MTS Internal Functions

MTS-package: Multivariate Time Series

MTSplot: Multivariate Time Series Plot

Mtxprod: Polynomial Matrix Product

Mtxprod1: Alternative Ploynomial Matrix Product

PIwgt: Pi Weight Matrices

PSIwgt: Psi Wights Matrices

qgdp: Quarterly real gross domestic products of United Kingdom,...

refECMvar: Refining Error-Correction Model for VAR series

refECMvar1: Refining ECM for a VAR process

refKronfit: Refining VARMA Estimation via Kronecker Index Approach

refREGts: Refining a Regression Model with Time Series Errors

refSCMfit: Refining Estimation of VARMA Model via SCM Approch

refsVARMA: Refining a Seasonal VARMA Model

refVAR: Refining a VAR Model

refVARMA: Refining VARMA Estimation

refVARX: Refining a VARX Model

refVMA: Refining VMA Models

refVMAe: Refining VMA Estimation via the Exact Likelihood Method

REGts: Regression Model with Time Series Errors

RLS: Recursive Least Squares

SCCor: Sample Constrained Correlations

SCMfit: Scalar Component Model Fitting

SCMid: Scalar Component Identification

SCMid2: Scalar Component Model Specification II

SCMmod: Scalar Component Model specification

sVARMA: Seasonal VARMA Model Estimation

sVARMACpp: Seasonal VARMA Model Estimation (Cpp)

SWfore: Stock-Watson Diffusion Index Forecasts

tenstocks: Monthly simple returns of ten U.S. stocks

tfm: Transfer Function Model

tfm1: Transfer Function Model with One Input

tfm2: Transfer Function Model with Two Input Variables

VAR: Vector Autoregressive Model

VARMA: Vector Autoregressive Moving-Average Models

VARMAcov: Autocovariance Matrices of a VARMA Model

VARMACpp: Vector Autoregressive Moving-Average Models (Cpp)

VARMAirf: Impulse Response Functions of a VARMA Model

VARMApred: VARMA Prediction

VARMAsim: Generating a VARMA Process

VARorder: VAR Order Specification

VARorderI: VAR order specification I

VARpred: VAR Prediction

VARpsi: VAR Psi-weights

VARs: VAR Model with Selected Lags

VARX: VAR Model with Exogenous Variables

VARXorder: VARX Order Specification

VARXpred: VARX Model Prediction

Vech: Half-Stacking Vector of a Symmetrix Matrix

VechM: Matrix constructed from output of the Vech Command. In other...

VMA: Vector Moving Averge Model

VMACpp: Vector Moving Averge Model (Cpp)

VMAe: VMA Estimation with Exact likelihood

VMAorder: VMA Order Specification

VMAs: VMA Model with Selected Lags

Vmiss: VARMA Model with Missing Value

Vpmiss: Partial Missing Value of a VARMA Series

Functions

apca Man page
archTest Man page
BEKK11 Man page
Btfm2 Man page
BVAR Man page
ccm Man page
comVol Man page
dccFit Man page
dccPre Man page
diffM Man page
Eccm Man page
ECMvar Man page
ECMvar1 Man page
EWMAvol Man page
FEVdec Man page
GrangerTest Man page
hfactor Man page
ibmspko Man page
Kronfit Man page
Kronid Man page
Kronspec Man page
Lminv Man page
MarchTest Man page
MCHdiag Man page
MCholV Man page
mFilter Man page
Mlm Man page
mq Man page
msqrt Man page
mtCopula Man page
MTS Man page
MTSdiag Man page
MTS-package Man page
MTSplot Man page
Mtxprod Man page
Mtxprod1 Man page
PIwgt Man page
PSIwgt Man page
qgdp Man page
refECMvar Man page
refECMvar1 Man page
refKronfit Man page
refREGts Man page
refSCMfit Man page
refsVARMA Man page
refVAR Man page
refVARMA Man page
refVARs Man page
refVARX Man page
refVMA Man page
refVMAe Man page
refVMAs Man page
REGts Man page
revmq Man page
RLS Man page
SCCor Man page
SCMfit Man page
SCMid Man page
SCMid2 Man page
SCMmod Man page
sVARMA Man page
sVARMACpp Man page
SWfore Man page
tenstocks Man page
tfm Man page
tfm1 Man page
tfm2 Man page
VAR Man page
VARchi Man page
VARecm Man page
VARfore Man page
VARirf Man page
VARMA Man page
VARMAcov Man page
VARMACpp Man page
VARMAirf Man page
VARMApred Man page
VARMAsim Man page
VARorder Man page
VARorderI Man page
VARpred Man page
VARpsi Man page
VARs Man page
VARX Man page
VARXorder Man page
VARXpred Man page
Vech Man page
VechM Man page
VMA Man page
VMACpp Man page
VMAe Man page
VMAorder Man page
VMApred Man page
VMAs Man page
Vmiss Man page
Vpmiss Man page

Files

MTS
MTS/src
MTS/src/Makevars
MTS/src/varma.cpp
MTS/src/Makevars.win
MTS/NAMESPACE
MTS/data
MTS/data/mts-examples.rda
MTS/R
MTS/R/sVARMACpp.R MTS/R/VMACpp.R MTS/R/MTS.R MTS/R/VARMACpp.R MTS/R/MVM.R
MTS/README.md
MTS/MD5
MTS/DESCRIPTION
MTS/man
MTS/man/apca.Rd MTS/man/VARMAirf.Rd MTS/man/SCMfit.Rd MTS/man/VMAe.Rd MTS/man/VARs.Rd MTS/man/PIwgt.Rd MTS/man/BEKK11.Rd MTS/man/VARMAcov.Rd MTS/man/tfm.Rd MTS/man/MCholV.Rd MTS/man/Mlm.Rd MTS/man/BVAR.Rd MTS/man/Btfm2.Rd MTS/man/MTS-internal.Rd MTS/man/EWMAvol.Rd MTS/man/VARMA.Rd MTS/man/Vmiss.Rd MTS/man/archTest.Rd MTS/man/VARpsi.Rd MTS/man/refREGts.Rd MTS/man/FEVdec.Rd MTS/man/ECMvar1.Rd MTS/man/refECMvar1.Rd MTS/man/VARorderI.Rd MTS/man/Eccm.Rd MTS/man/VARorder.Rd MTS/man/SCMid.Rd MTS/man/refVMAe.Rd MTS/man/dccPre.Rd MTS/man/VARMApred.Rd MTS/man/sVARMACpp.Rd MTS/man/Kronid.Rd MTS/man/Vech.Rd MTS/man/refVARX.Rd MTS/man/VMA.Rd MTS/man/Kronfit.Rd MTS/man/sVARMA.Rd MTS/man/diffM.Rd MTS/man/comVol.Rd MTS/man/refKronfit.Rd MTS/man/dccFit.Rd MTS/man/MTS-package.Rd MTS/man/VMAorder.Rd MTS/man/PSIwgt.Rd MTS/man/VAR.Rd MTS/man/RLS.Rd MTS/man/SWfore.Rd MTS/man/VARX.Rd MTS/man/qgdp.Rd MTS/man/VMACpp.Rd MTS/man/tenstocks.Rd MTS/man/REGts.Rd MTS/man/tfm1.Rd MTS/man/MTSdiag.Rd MTS/man/refSCMfit.Rd MTS/man/ibmspko.Rd MTS/man/refVMA.Rd MTS/man/SCMid2.Rd MTS/man/MTSplot.Rd MTS/man/VARpred.Rd MTS/man/GrangerTest.Rd MTS/man/Vpmiss.Rd MTS/man/refECMvar.Rd MTS/man/MarchTest.Rd MTS/man/VechM.Rd MTS/man/Mtxprod1.Rd MTS/man/refsVARMA.Rd MTS/man/VMAs.Rd MTS/man/ECMvar.Rd MTS/man/mtCopula.Rd MTS/man/Kronspec.Rd MTS/man/VARMACpp.Rd MTS/man/VARXpred.Rd MTS/man/ccm.Rd MTS/man/tfm2.Rd MTS/man/SCMmod.Rd MTS/man/SCCor.Rd MTS/man/hfactor.Rd MTS/man/refVAR.Rd MTS/man/Mtxprod.Rd MTS/man/VARXorder.Rd MTS/man/VARMAsim.Rd MTS/man/msqrt.Rd MTS/man/refVARMA.Rd MTS/man/mq.Rd MTS/man/MCHdiag.Rd

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