tfm: Transfer Function Model

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

Transfer Function Model

Description

Estimates a transform function model. This program does not allow rational transfer function model. It is a special case of tfm1 and tfm2.

Usage

tfm(y, x, b = 0, s = 1, p = 0, q = 0)

Arguments

y	Data vector of dependent (output) variable
x	Data vector of independent variable
b	deadtime or delay
s	The order of the transfer function polynomial
p	AR order of the disturbance
q	MA order of the disturbance

Details

The model entertained is y_t = c_0+ v(B)x_t + n_t. v(B) = 1- v1*B - ... - vs*B^s, and n_t is an ARMA(p,q) process.

Value

coef	Coefficient estimates of the transfer function
se.coef	Standard errors of the transfer function coefficients
coef.arma	Coefficient estimates of ARMA models
se.arma	Standard errors of ARMA coefficients
nt	The disturbance series
residuals	The residual series

Author(s)

Ruey S. Tsay

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

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