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partsm (version 1.1-4)

Periodic Autoregressive Time Series Models

Description

Basic functions to fit and predict periodic autoregressive time series models. These models are discussed in the book P.H. Franses (1996) "Periodicity and Stochastic Trends in Economic Time Series", Oxford University Press. Data set analyzed in that book is also provided. NOTE: the package was orphaned during several years. It is now only maintained, but no major enhancements are expected, and the maintainer cannot provide any support.

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Install

install.packages('partsm')

Monthly Downloads

515

Version

1.1-4

License

GPL-2

Issues

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Stars

3

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Maintainer

Matthieu Stigler

Last Published

April 21st, 2025

Functions in partsm (1.1-4)

gergnpsa

Real GNP in Germany (1960.1-1990.4). Seasonally Adjusted
canun

Unemployment in Canada (1960.1-1987.4)
fit.partsm

fit.partsm Class
PAR.MVrepr

Multivariate representation of a PAR model
gergnp

Real GNP in Germany (1960.1-1990.4)
acf.ext1

Autocorrelation function for several transformations of the original data
fit.piar

Fit a Periodically Integrated Autoregressive Model.
swndcpc

Real per Capita non-durables Consumption in Sweden (1963.1 - 1988.1)
canunsa

Unemployment in Canada. (1960.1-1987.4). Seasonally Adjusted
pred.piartsm

pred.piartsm Class
fit.piartsm

fit.piartsm Class
show-methods

Methods for Function 'show' in Package 'partsm'
fit.ar.par

Fit an Autoregressive or Periodic Autoregressive Model
ukgdp

United Kingdom Gross Domestic Product (1955.1-1988.4)
summary-methods

Methods for Function 'summary' in Package 'partsm'
ukpinvest

United Kindom Public Investment (1962.1-1988.4)
ukimp

United Kindom Imports of Goods and Services (1955.1-1988.4)
swdipc

Real per Capita Disposable Income in Sweden (1963.1-1988.1)
predictpiar

Predictions for a Restricted Periodic Autoregressive Model
ukcons

United Kingdom Total Consumption (1955.1-1988.4)
ukexp

United Kindom Exports of Goods and Services (1955.1-1988.4)
plotpdiff

Graphical Representation of the Periodically Differenced Data
plotpredpiar

Plot of the Out-of-Sample Forecasts in a PIAR Model
ukwf

United Kindom Workforce (1955.1-1988.4)
usaipisa

Total Industrial Production Index for the United States (1960.1-1991.4). Seasonally Adjusted
ukinvest

Real Total Investment in the United Kindom (1955.1-1988.4)
usaipi

Total Industrial Production Index for the United States (1960.1-1991.4)
ukndcons

United Kindom non-durables Consumption (1955.1-1988.4)
MVPAR-class

MVPAR Class
MVPIAR-class

MVPIAR Class
Ftest.partsm

Ftest.partsm Class
Fsh.test

Test for Seasonal Heteroskedasticity
Fpari.piar.test

Test for a Parameter Restriction in a PAR Model.
Fpar.test

Test for Periodic Variation in the Autoregressive Parameters
LRur.partsm

LRur.partsm Class
Fnextp.test

Test for the Significance of the p+1 Autoregressive Parameters in an AR(p) or PAR(p) Model
PAR.MVrepr-methods

Method for Building the Matrices for the Multivariate Representation of a PAR Model
LRurpar.test

Likelihood Ratio Test for a Single Unit Root in a PAR(p) Model