MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
Version 0.33

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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("MTS")

Getting started

Package overview
README.md

Popular man pages

ccm: Cross-Correlation Matrices
mq: Multivariate Ljung-Box Q Statistics
RLS: Recursive Least Squares
VARMApred: VARMA Prediction
VARMAsim: Generating a VARMA Process
VARpred: VAR Prediction
VARX: VAR Model with Exogenous Variables
See all...

All man pages Function index File listing

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

Files

src
src/Makevars
src/varma.cpp
src/Makevars.win
NAMESPACE
data
data/mts-examples.rda
R
R/sVARMACpp.R
R/VMACpp.R
R/MTS.R
R/VARMACpp.R
R/MVM.R
README.md
MD5
DESCRIPTION
man
man/apca.Rd
man/VARMAirf.Rd
man/SCMfit.Rd
man/VMAe.Rd
man/VARs.Rd
man/PIwgt.Rd
man/BEKK11.Rd
man/VARMAcov.Rd
man/tfm.Rd
man/MCholV.Rd
man/Mlm.Rd
man/BVAR.Rd
man/Btfm2.Rd
man/MTS-internal.Rd
man/EWMAvol.Rd
man/VARMA.Rd
man/Vmiss.Rd
man/archTest.Rd
man/VARpsi.Rd
man/refREGts.Rd
man/FEVdec.Rd
man/ECMvar1.Rd
man/refECMvar1.Rd
man/VARorderI.Rd
man/Eccm.Rd
man/VARorder.Rd
man/SCMid.Rd
man/refVMAe.Rd
man/dccPre.Rd
man/VARMApred.Rd
man/sVARMACpp.Rd
man/Kronid.Rd
man/Vech.Rd
man/refVARX.Rd
man/VMA.Rd
man/Kronfit.Rd
man/sVARMA.Rd
man/diffM.Rd
man/comVol.Rd
man/refKronfit.Rd
man/dccFit.Rd
man/MTS-package.Rd
man/VMAorder.Rd
man/PSIwgt.Rd
man/VAR.Rd
man/RLS.Rd
man/SWfore.Rd
man/VARX.Rd
man/qgdp.Rd
man/VMACpp.Rd
man/tenstocks.Rd
man/REGts.Rd
man/tfm1.Rd
man/MTSdiag.Rd
man/refSCMfit.Rd
man/ibmspko.Rd
man/refVMA.Rd
man/SCMid2.Rd
man/MTSplot.Rd
man/VARpred.Rd
man/GrangerTest.Rd
man/Vpmiss.Rd
man/refECMvar.Rd
man/MarchTest.Rd
man/VechM.Rd
man/Mtxprod1.Rd
man/refsVARMA.Rd
man/VMAs.Rd
man/ECMvar.Rd
man/mtCopula.Rd
man/Kronspec.Rd
man/VARMACpp.Rd
man/VARXpred.Rd
man/ccm.Rd
man/tfm2.Rd
man/SCMmod.Rd
man/SCCor.Rd
man/hfactor.Rd
man/refVAR.Rd
man/Mtxprod.Rd
man/VARXorder.Rd
man/VARMAsim.Rd
man/msqrt.Rd
man/refVARMA.Rd
man/mq.Rd
man/MCHdiag.Rd
MTS documentation built on May 19, 2017, 2:35 p.m.

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