checkResiduals: Check Time Series Idiosyncratic Component
In tsfa: Time Series Factor Analysis

Description Usage Arguments Author(s) See Also Examples

The data is subtracted from the explained data (after differencing if diff is TRUE, the default) and the result is treated as a residual. Its covariance, the sum of the diagonal elements of the covariance, and the sum of the off-diagonal elements of the covariance are printed. The residual is then passed to the default method for checkResiduals which produces several diagonistic plots and (invisibly) returns statistics. See checkResiduals for more details. Calculation of partial autocorrelations can be problematic.

Some care should be taken interpreting the results. Factor estimation does not minimize residuals, it extracts common factors.

1 2	## S3 method for class 'TSFmodel' checkResiduals(obj, data=obj$data, diff.=TRUE, ...)

`obj`	TSFmodel object for which the idiosyncratic component should be examined (as if it were a residual).
`data`	data from which the idiosyncratic component should be calculated.
`diff.`	logical indicating if data and explained should be differenced.
`...`	arguments to be passed to checkResiduals default methods.

Paul Gilbert

checkResiduals, TSFmodel, estTSF.ML

  if (require("CDNmoney")){
    data("CanadianMoneyData.asof.28Jan2005", package="CDNmoney")
    data("CanadianCreditData.asof.28Jan2005", package="CDNmoney")
 
    z <- tframed(tbind(
  	MB2001,
  	MB486 + MB452 + MB453 ,
  	NonbankCheq,
  	MB472 + MB473 + MB487p,
  	MB475,
  	NonbankNonCheq + MB454 + NonbankTerm + MB2046 + MB2047 + MB2048 +
  	MB2057 + MB2058 + MB482),
  	names=c("currency", "personal cheq.", "NonbankCheq",
  	"N-P demand & notice", "N-P term", "Investment" )
      )
 
    z <- tfwindow(tbind (z, ConsumerCredit, ResidentialMortgage,
  			    ShortTermBusinessCredit, OtherBusinessCredit),
  	 start=c(1981,11), end=c(2004,11))
 
    cpi <- 100 * M1total / M1real
    popm <- M1total / M1PerCapita
    scale <- tfwindow(1e8 /(popm * cpi), tf=tframe(z))

    MBandCredit <- sweep(z, 1, scale, "*")
    c4withML  <- estTSF.ML(MBandCredit, 4)

    checkResiduals(c4withML, pac=FALSE)
  }