partsm: Periodic Autoregressive Time Series Models

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This package performs basic functions to fit and predict periodic autoregressive time series models. These models are discussed in the book P.H. Franses (1996) "Periodicity and Stochastic Trends in Economic Time Series", Oxford University Press. Data set analyzed in that book is also provided. NOTE: the package was orphaned during several years. It is now only maintained, but no major enhancement are expected, and the maintainer cannot provide any support.

Author
Javier Lopez-de-Lacalle
Date of publication
2014-03-30 21:50:34
Maintainer
Matthieu Stigler <Matthieu.Stigler@gmail.com>
License
GPL-2
Version
1.1-2
URLs

View on CRAN

Man pages

acf.ext1
Autocorrelation function for several transformations of the...
canun
Unemployment in Canada (1960.1-1987.4)
canunsa
Unemployment in Canada. (1960.1-1987.4). Seasonally Adjusted
fit.ar.par
Fit an Autoregressive or Periodic Autoregressive Model
fit.partsm-class
fit.partsm Class
fit.piar
Fit a Periodically Integrated Autoregressive Model.
fit.piartsm-class
fit.piartsm Class
Fnextp.test
Test for the Significance of the p+1 Autoregressive...
Fpari.piar.test
Test for a Parameter Restriction in a PAR Model.
Fpar.test
Test for Periodic Variation in the Autoregressive Parameters
Fsh.test
Test for Seasonal Heteroskedasticity
Ftest.partsm-class
Ftest.partsm Class
gergnp
Real GNP in Germany (1960.1-1990.4)
gergnpsa
Real GNP in Germany (1960.1-1990.4). Seasonally Adjusted
LRurpar.test
Likelihood Ratio Test for a Single Unit Root in a PAR(p)...
LRur.partsm-class
LRur.partsm Class
MVPAR-class
MVPAR Class
MVPIAR-class
MVPIAR Class
PAR.MVrepr
Multivariate representation of a PAR model
PAR.MVrepr-method
Method for Building the Matrices for the Multivariate...
plotpdiff
Graphical Representation of the Periodically Differenced Data
plotpredpiar
Plot of the Out-of-Sample Forecasts in a PIAR Model
predictpiar
Predictions for a Restricted Periodic Autoregressive Model
pred.piartsm-class
pred.piartsm Class
show-methods
Methods for Function 'show' in Package 'partsm'
summary-methods
Methods for Function 'summary' in Package 'partsm'
swdipc
Real per Capita Disposable Income in Sweden (1963.1-1988.1)
swndcpc
Real per Capita non-durables Consumption in Sweden (1963.1 -...
ukcons
United Kingdom Total Consumption (1955.1-1988.4)
ukexp
United Kindom Exports of Goods and Services (1955.1-1988.4)
ukgdp
United Kingdom Gross Domestic Product (1955.1-1988.4)
ukimp
United Kindom Imports of Goods and Services (1955.1-1988.4)
ukinvest
Real Total Investment in the United Kindom (1955.1-1988.4)
ukndcons
United Kindom non-durables Consumption (1955.1-1988.4)
ukpinvest
United Kindom Public Investment (1962.1-1988.4)
ukwf
United Kindom Workforce (1955.1-1988.4)
usaipi
Total Industrial Production Index for the United States...
usaipisa
Total Industrial Production Index for the United States...

Files in this package

partsm
partsm/inst
partsm/inst/ChangeLog
partsm/inst/doc
partsm/inst/doc/partsm.pdf
partsm/inst/doc/partsm.R
partsm/inst/doc/partsm.Rnw
partsm/tests
partsm/tests/partsm_examples.Rout.save
partsm/tests/partsm_examples.R
partsm/NAMESPACE
partsm/data
partsm/data/swdipc.rda
partsm/data/gergnpsa.rda
partsm/data/usaipi.rda
partsm/data/ukimp.rda
partsm/data/gergnp.rda
partsm/data/usaipisa.rda
partsm/data/ukwf.rda
partsm/data/swndcpc.rda
partsm/data/ukexp.rda
partsm/data/canunsa.rda
partsm/data/canun.rda
partsm/data/ukinvest.rda
partsm/data/ukndcons.rda
partsm/data/ukcons.rda
partsm/data/ukgdp.rda
partsm/data/ukpinvest.rda
partsm/R
partsm/R/partsm.R
partsm/R/bbplot.R
partsm/R/plotpdiff.R
partsm/vignettes
partsm/vignettes/partsm.Rnw
partsm/vignettes/partsm.bib
partsm/vignettes/partsm.cls
partsm/vignettes/agsm.bst
partsm/MD5
partsm/build
partsm/build/vignette.rds
partsm/DESCRIPTION
partsm/man
partsm/man/summary-methods.Rd
partsm/man/LRurpar.test.Rd
partsm/man/predictpiar.Rd
partsm/man/plotpredpiar.Rd
partsm/man/Fpar.test.Rd
partsm/man/fit.partsm-class.Rd
partsm/man/PAR.MVrepr-method.Rd
partsm/man/fit.piar.Rd
partsm/man/Fsh.test.Rd
partsm/man/acf.ext1.Rd
partsm/man/swdipc.Rd
partsm/man/ukwf.Rd
partsm/man/usaipi.Rd
partsm/man/canunsa.Rd
partsm/man/gergnpsa.Rd
partsm/man/LRur.partsm-class.Rd
partsm/man/ukinvest.Rd
partsm/man/ukcons.Rd
partsm/man/MVPIAR-class.Rd
partsm/man/canun.Rd
partsm/man/ukimp.Rd
partsm/man/Ftest.partsm-class.Rd
partsm/man/usaipisa.Rd
partsm/man/ukgdp.Rd
partsm/man/Fpari.piar.test.Rd
partsm/man/plotpdiff.Rd
partsm/man/pred.piartsm-class.Rd
partsm/man/ukexp.Rd
partsm/man/Fnextp.test.Rd
partsm/man/MVPAR-class.Rd
partsm/man/ukndcons.Rd
partsm/man/ukpinvest.Rd
partsm/man/PAR.MVrepr.Rd
partsm/man/gergnp.Rd
partsm/man/swndcpc.Rd
partsm/man/fit.piartsm-class.Rd
partsm/man/fit.ar.par.Rd
partsm/man/show-methods.Rd
partsm/INDEX