Eccm: Extended Cross-Correlation Matrices

Description Usage Arguments Value Author(s) References Examples

Description

Compute the extended cross-correlation matrices and the associated two-way table of p-values of multivariate Ljung-Box statistics of a vector time series.

Usage

1
Eccm(zt, maxp = 5, maxq = 6, include.mean = FALSE, rev = TRUE)

Arguments

zt

Data matrix (T-by-k) of a vector time series, where T is the sample size and k is the dimension.

maxp

Maximum AR order entertained. Default is 5.

maxq

Maximum MA order entertained. Default is 6.

include.mean

A logical switch controling the mean vector in estimation. Default assumes zero mean.

rev

A logical switch to control the cross-correlation matrices used to compute the multivariate Ljung-Box statistics. Traditional way is to compute test statistics from lag-1 to lag-m. If rev = TRUE, then the test statistics are compute from lag-(m-1) to lag-m, from lag-(m-2) to lag-m, etc.

Value

pEccm

A two-way table of the p-values of extended cross-correlation matrices

vEccm

The sample extended cross-correlation matrices

ARcoef

AR coefficient marices of iterated VAR fitting

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

1
2
zt=matrix(rnorm(900),300,3)
m1=Eccm(zt)


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