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MTS

Installation

git clone git://github.com/d-/MTS.git
R CMD build MTS/

This will create a file named "MTS_VERSION.tar.gz".

Then move the file into your working directory in R and type:

install.packages("MTS_VERSION.tar.gz",repos=NULL,type="source")
library(MTS)

Alternatively, a simpler solution is to use the 'devtools' package.

install.packages("devtools")
library(devtools)
install_github('MTS','d-')

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Version

Install

install.packages('MTS')

Monthly Downloads

2,327

Version

1.1.1

License

Artistic License 2.0

Maintainer

Ruey S Tsay

Last Published

March 2nd, 2022

Functions in MTS (1.1.1)

Compute the Corner table for transfer function model specification

Forecast Error Variance Decomposition

Granger Causality Test

Extended Cross-Correlation Matrices

Back-Test of a Transfer Function Model with Two Input Variables

Exponentially Weighted Moving-Average Volatility

Error-Correction VAR Models

Error-Correction VAR Model 1

Multivariate Time Series Diagnostic Checking

Multivariate Time Series Plot

MTS Internal Functions

Bayesian Vector Autoregression

Multivariate Time Series

Multivariate ARCH test

Multivariate Linear Model

Pi Weight Matrices

VARMA Prediction

Polynomial Matrix Product

Alternative Polynomial Matrix Product

Generating a VARMA Process

Cross-Correlation Matrices

Backtesting of a scalar ARIMA model

Refining ECM for a VAR process

Refining Error-Correction Model for VAR series

Prediction of a fitted VARMA model via Kronfit, using Kronecker indices

Multivariate Conditional Heteroscedastic Model Checking

Stock-Watson Diffusion Index Forecasts

Vector Autoregressive Model

Kronecler Index Specification

Psi Wights Matrices

Multivariate Cholesky Volatility Model

Regression Model with Time Series Errors

Seasonal VARMA Model Estimation (Cpp)

Fitting a VARMA Model via Kronecker Index

Recursive Least Squares

Autocovariance Matrices of a VARMA Model

Sample Constrained Correlations

Prediction of a fitted multiplicative seasonal VARMA model

Vector Autoregressive Moving-Average Models (Cpp)

VARMA Model with Missing Value

Vector Autoregressive Moving-Average Models

Kronecker Index Identification

Scalar Component Model Fitting

Prediction of a fitted regression model with time series errors

Impulse Response Functions of a VARMA Model

Asymptotic Principal Component Analysis

Partial Missing Value of a VARMA Series

VARX Order Specification

VAR Model with Exogenous Variables

Impluse response function of a fitted VARX model

Half-Stacking Vector of a Symmetric Matrix

Scalar Component Identification

VARX Model Prediction

VMA Model with Selected Lags

Matrix constructed from output of the Vech Command. In other words, restore the original symmetric matrix from its half-stacking vector.

VMA Order Specification

Preliminary Fitting of DCC Models

Difference of multivariate time series

Refining VARMA Estimation via Kronecker Index Approach

Refining a Seasonal VARMA Model

Refining a Regression Model with Time Series Errors

Seasonal VARMA Model Estimation

Scalar Component Model specification

Scalar Component Model Specification II

VAR order specification I

VAR Order Specification

VAR Model with Selected Lags

ARCH test for univariate time series

Vector Moving Average Model

Vector Moving Average Model (Cpp)

VAR Psi-weights

Multivariate t-Copula Volatility Model

VMA Estimation with Exact likelihood

Common Volatility

Monthly simple returns of ten U.S. stocks

Dynamic Cross-Correlation Model Fitting

Quarterly real gross domestic products of United Kingdom, Canada, and the United States

Transfer Function Model

Monthly simple returns of the stocks of International Business Machines (IBM) and Coca Cola (KO) and the S&P Composite index (SP)

Constrained Factor Model

Multivariate Ljung-Box Q Statistics

Refining VMA Estimation via the Exact Likelihood Method

Square Root Matrix

Refining VMA Models

Transfer Function Model with One Input

Transfer Function Model with Two Input Variables

Refining Estimation of VARMA Model via SCM Approach

Refining VARMA Estimation

Refining a VAR Model

Refining a VARX Model