tfm1: Transfer Function Model with One Input

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

Transfer Function Model with One Input

Description

Estimation of a general transfer function model. The model can only handle one input and one output.

Usage

tfm1(y, x, orderN, orderX)

Arguments

y	Data vector of dependent variable
x	Data vector of input (or independent) variable
orderN	Order (p,d,q) of the disturbance component
orderX	Order (r,s,b) of the transfer function model, where r and s are the degrees of denominator and numerator polynomials and b is the delay

Details

Perform estimation of a general transfer function model

Value

estimate	Coefficient estimates
sigma2	Residual variance sigma-square
residuals	Residual series
varcoef	Variance of the estimates
Nt	The disturbance series

Author(s)

Ruey S. Tsay

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

See Also

tfm

Examples

##da=read.table("gasfur.txt")
##y=da[,2]; x=da[,1]
##m1=tfm1(y,x,orderX=c(1,2,3),orderN=c(2,0,0))

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