Scalar Component Model specification

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Description

For a given set of SCMs and locator of transformation matrix, the program specifies a VARMA model via SCM approach for estimation

Usage

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SCMmod(order, Ivor, output)

Arguments

order

A k-by-2 matrix of the orders of SCM

Ivor

A k-dimensioal vector indicating the location of "1" for each component in the transformation matrix.

output

A logical switch to control output.

Details

The command specified estimable parameters for a VARMA model via the SCM components. In the output, "2" denotes estimation, "1" denotes fixing the value to 1, and "0" means fixing the parameter to zero.

Value

Tmtx

Specification of the transformation matrix T

ARpar

Specification of the VAR parameters

MApar

Specification of the VMA parameters

Author(s)

Ruey S. Tsay

References

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

Examples

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ord=matrix(c(0,1,1,0,0,1),3,2)
Ivor=c(3,1,2)
m1=SCMmod(ord,Ivor,TRUE)

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