Kronfit: Fitting a VARMA Model via Kronecker Index

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

Fitting a VARMA Model via Kronecker Index

Description

Perform estimation of a VARMA model specified by the Kronecker indices

Usage

Kronfit(da, kidx, include.mean = T, fixed = NULL, Kpar=NULL, 
  seKpar=NULL, prelim = F, details = F, thres = 1)

Arguments

da	Data matrix (T-by-k) of a k-dimensional time series
kidx	The vector consisting of Kronecker indices
include.mean	A logical switch for including the mean vector in estimation. Default is to include the mean vector.
fixed	A logical matrix used to set zero parameter constraints. This is used mainly in the command refKronfit.
Kpar	Parameter vectors for use in model simplification
seKpar	Standard errors of the parameter estimates for use in model simplification
prelim	A logical switch for a preliminary estimation.
details	A logical switch to control output.
thres	A threshold for t-ratios in setting parameter to zero. Default is 1.

Value

data	The observed time series data
Kindex	Kronecker indices
ARid	Specification of AR parameters: 0 denotes fixing to zero, 1 denotes fixing to 1, and 2 denoting estimation
MAid	Specification of MA parameters
cnst	A logical variable: include.mean
coef	Parameter estimates
se.coef	Standard errors of the estimates
residuals	Residual series
Sigma	Residual covariance matrix
aic,bic	Information criteria of the fitted model
Ph0	Constant vector
Phi	AR coefficient matrices
Theta	MA coefficient matrices

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

refKronfit, Kronspec

MTS documentation built on April 11, 2022, 5:07 p.m.