pcdiff.piar2unit.simple: Periodically differenced data when there are two simple unit...

In YueyunZhu/UnitRootsofPIAR: Eliminate unit roots for periodically integrated autoregressive models

Description

Periodically differenced data when there are two simple unit roots in original data

Usage

pcdiff.piar2unit.simple(pcts, parameters, d)

Arguments

pcts	the original time series (assumed there are two simple unit roots)
parameters	the parameters of second order differencing filter (1-α_{1s}L-α_{2s}L^2)
d	period

Details

The function provides the (periodic) stationary data. The original data is with two simple unit roots, and after imposing the filter (1-α_{1s}L-α_{2s}L^2), the perioically differenced data can be derived.

Value

Periodically differenced data

Examples

library(pcts)
library(mcompanion)
set.seed(123)
F <- sim_mc(dim = 4, mo = 4, mo.col = 2, eigval = c(1,1), len.block = c(1,1))
phi <- new("MultiFilter", mc =  mCompanion(F$mat, mo = 4, mo.col = 2))
pc.sim <- sim_pc(model = list(phi = phi[], p = 2, period = 4), n = 500)
#coefficients of second order filter
icoef <- piar2unit.simple(Xsim = F$eigvec, d = 4, eigval = c(1,1))
pcdiff.pc.sim <- pcdiff.piar2unit.simple(pcts = pc.sim, parameters = icoef, d=4)

YueyunZhu/UnitRootsofPIAR documentation built on Feb. 13, 2020, 12:32 a.m.