Fitting a VARMA Model via Kronecker Index

Description

Perform estimation of a VARMA model specified by the Kronecker indices

Usage

1
2
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 lofical 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 indicies

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

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.