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 |

`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`

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 | ```
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)
}
``` |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.