Corner: Compute the Corner table for transfer function model...
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Corner

R Documentation

Compute the Corner table for transfer function model specification

Description

For a given dependent variable and an input variable, the program computes the Corner table for specifying the order (r,s,d) of a transfer function

Usage

Corner(y,x,Nrow=11,Ncol=7)

Arguments

`y`	A pre-whitened dependent (or output) variable
`x`	A pre-whitened independent (or input) variable. It should be a white noise series
`Nrow`	The number of rows of the Corner table. Default is 11.
`Ncol`	The number of columns of the Corner table. Default is 7.

Details

For the pair of pre-whitened output and input variables, the program compute the Corner table and its simplified version for specifying the order of a transfer function.