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

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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.

Author
Ruey S. Tsay
Date of publication
2015-02-12 17:29:18
Maintainer
Ruey S. Tsay <ruey.tsay@chicagobooth.edu>
License
Artistic License 2.0
Version
0.33

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

Files in this package

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