identify
, estimate
, and forecast
, etc. They also have the similar outputs.
Package: |
aTSA |
Type: |
Package |
Version: |
3.1.2 |
Date: |
2015-06-19 |
License: |
GPL-2 | GPL-3 |
library(help = aTSA)
.
Engle, Robert F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50 (4): 987-1007.
Fuller, W. A. (1976). Introduction to Statistical Time Series. New York: John Wiley and Sons.
Hobijn B, Franses PH and Ooms M (2004). Generalization of the KPSS-test for stationarity. Statistica Neerlandica, vol. 58, p. 482-502.
Kwiatkowski, D.; Phillips, P. C. B.; Schmidt, P.; Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54 (1-3): 159-178.
McLeod, A. I. and W. K. Li. Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations. Journal of Time Series Analysis. Vol. 4, 1983, pp. 269-27.
Phillips, P. C. B.; Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2): 335-346.