SCMmod: Scalar Component Model specification

In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Scalar Component Model specification

Description

For a given set of SCMs and locator of transformation matrix, the program specifies a VARMA model via SCM approach for estimation

Usage

SCMmod(order, Ivor, output)

Arguments

order	A k-by-2 matrix of the orders of SCM
Ivor	A k-dimensional vector indicating the location of "1" for each component in the transformation matrix.
output	A logical switch to control output.

Details

The command specified estimable parameters for a VARMA model via the SCM components. In the output, "2" denotes estimation, "1" denotes fixing the value to 1, and "0" means fixing the parameter to zero.

Value

Tmtx	Specification of the transformation matrix T
ARpar	Specification of the VAR parameters
MApar	Specification of the VMA parameters

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

ord=matrix(c(0,1,1,0,0,1),3,2)
Ivor=c(3,1,2)
m1=SCMmod(ord,Ivor,TRUE)

d-/MTS documentation built on June 12, 2022, 12:50 a.m.