tfm2: Transfer Function Model with Two Input Variables

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

Transfer Function Model with Two Input Variables

Description

Estimation of a general transfer function model with two input variables. The model can handle one output and up-to 2 input variables. The time series noise can assume multiplicative seasonal ARMA models.

Usage

tfm2(y,x,x2=NULL,ct=NULL,wt=NULL,orderN=c(1,0,0),orderS=c(0,0,0),
sea=12,order1=c(0,1,0),order2=c(0,-1,0))

Arguments

y	Data vector of dependent variable
x	Data vector of the first input (or independent) variable
x2	Data vector of the second input variable if any
ct	Data vector of a given deterministic variable such as time trend, if any
wt	Data vector of co-integrated series between input and output variables if any
orderN	Order (p,d,q) of the regular ARMA part of the disturbance component
orderS	Order (P,D,Q) of the seasonal ARMA part of the disturbance component
sea	Seasonality, default is 12 for monthly data
order1	Order (r,s,b) of the transfer function model of the first input variable, where r and s are the degrees of denominator and numerator polynomials and b is the delay
order2	Order (r2,s2,b2) of the transfer function model of the second input variable, where 2r and s2 are the degrees of denominator and numerator polynomials and b2 is the delay

Details

Perform estimation of a general transfer function model with two input variables

Value

estimate	Coefficient estimates
sigma2	Residual variance sigma-square
residuals	Residual series
varcoef	Variance of the estimates
Nt	The disturbance series
rAR	Regular AR coefficients
rMA	Regular MA coefficients
sAR	Seasonal AR coefficients
sMA	Seasonal MA coefficients
omega	Numerator coefficients of the first transfer function
delta	Denominator coefficients of the first transfer function
omega2	Numerator coefficients of the 2nd transfer function
delta2	Denominator coefficients of the 2nd transfer function

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.

See Also

tfm, tfm1

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