VMAorder: VMA Order Specification

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

VMA Order Specification

Description

Performs multivariate Ljung-Box tests to specify the order of a VMA process

Usage

VMAorder(x, lag = 20)

Arguments

x	Data matrix of the observed k-dimensional time series. Each column represents a time series.
lag	The maximum VMA order entertained. Default is 20.

Details

For a given lag, the command computes the Ljung-Box statistic for testing rho_j = ... = rho_lag = 0, where j = 1, 2, ..., lag. For a VMA(q) process, the Ljung-Box statistics should be significant for the first q lags, and insignificant thereafter.

Value

The Q-statistics and p-value plot

Author(s)

Ruey S. Tsay

References

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

Examples

zt=matrix(rnorm(600),200,3)
VMAorder(zt)

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