MTSdiag: Multivariate Time Series Diagnostic Checking

Description Usage Arguments Value Author(s) Examples

Description

Performs model checking for a fitted multivariate time series model, including residual cross-correlation matrices, multivariate Ljung-Box tests for residuals, and residual plots

Usage

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MTSdiag(model, gof = 24, adj = 0, level = F)

Arguments

model

A fitted multivariate time series model

gof

The number of lags of residual cross-correlation matrices used in the tests

adj

The adjustment for degrees of freedom of Ljung-Box statistics. Typically, the number of fitted coefficients of the model. Default is zero.

level

Logical switch for printing residual cross-correlation matrices

Value

Various test statistics, their p-values, and residual plots.

Author(s)

Ruey S Tsay

Examples

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phi=matrix(c(0.2,-0.6,0.3,1.1),2,2); sigma=diag(2)
m1=VARMAsim(200,arlags=c(1),phi=phi,sigma=sigma)
zt=m1$series
m2=VAR(zt,1,include.mean=FALSE)
MTSdiag(m2)

Example output

AR coefficient matrix 
AR( 1 )-matrix 
       [,1]  [,2]
[1,]  0.179 0.275
[2,] -0.696 1.111
standard error 
       [,1]   [,2]
[1,] 0.0642 0.0303
[2,] 0.0624 0.0294
  
Residuals cov-mtx: 
          [,1]      [,2]
[1,] 1.1077442 0.1008527
[2,] 0.1008527 1.0450301
  
det(SSE) =  1.147455 
AIC =  0.1775463 
BIC =  0.2435126 
HQ  =  0.2042418 
[1] "Covariance matrix:"
      [,1]  [,2]
[1,] 1.111 0.105
[2,] 0.105 1.042
CCM at lag:  0 
       [,1]   [,2]
[1,] 1.0000 0.0979
[2,] 0.0979 1.0000
Simplified matrix: 
CCM at lag:  1 
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CCM at lag:  2 
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CCM at lag:  3 
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CCM at lag:  4 
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CCM at lag:  5 
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CCM at lag:  6 
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CCM at lag:  7 
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CCM at lag:  8 
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CCM at lag:  9 
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CCM at lag:  10 
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CCM at lag:  11 
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CCM at lag:  12 
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CCM at lag:  13 
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CCM at lag:  14 
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CCM at lag:  15 
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CCM at lag:  16 
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CCM at lag:  17 
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CCM at lag:  18 
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CCM at lag:  19 
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CCM at lag:  20 
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CCM at lag:  21 
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CCM at lag:  22 
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CCM at lag:  23 
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CCM at lag:  24 
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Hit Enter for p-value plot of individual ccm:  

Hit Enter to compute MQ-statistics: 

Ljung-Box Statistics:  
        m       Q(m)     df    p-value
 [1,]  1.00      3.76    4.00     0.44
 [2,]  2.00      5.33    8.00     0.72
 [3,]  3.00      9.41   12.00     0.67
 [4,]  4.00     15.69   16.00     0.47
 [5,]  5.00     19.31   20.00     0.50
 [6,]  6.00     20.87   24.00     0.65
 [7,]  7.00     23.56   28.00     0.70
 [8,]  8.00     23.86   32.00     0.85
 [9,]  9.00     27.19   36.00     0.85
[10,] 10.00     34.66   40.00     0.71
[11,] 11.00     37.55   44.00     0.74
[12,] 12.00     39.98   48.00     0.79
[13,] 13.00     41.30   52.00     0.86
[14,] 14.00     43.27   56.00     0.89
[15,] 15.00     44.74   60.00     0.93
[16,] 16.00     45.47   64.00     0.96
[17,] 17.00     47.30   68.00     0.97
[18,] 18.00     49.89   72.00     0.98
[19,] 19.00     54.79   76.00     0.97
[20,] 20.00     59.71   80.00     0.96
[21,] 21.00     60.70   84.00     0.97
[22,] 22.00     64.01   88.00     0.97
[23,] 23.00     66.49   92.00     0.98
[24,] 24.00     67.29   96.00     0.99
Hit Enter to obtain residual plots: 

MTS documentation built on May 29, 2017, 5:15 p.m.