Check Time Series Idiosyncratic Component

Description

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.

Usage

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

Arguments

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.

Author(s)

Paul Gilbert

See Also

checkResiduals, TSFmodel, estTSF.ML

Examples

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  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)
  }