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partsm (version 1.1-2)

Periodic Autoregressive Time Series Models

Description

This package performs 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 enhancement are expected, and the maintainer cannot provide any support.

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Install

install.packages('partsm')

Monthly Downloads

261

Version

1.1-2

License

GPL-2

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Repository

http://github.com/MatthieuStigler/partsm

Maintainer

Matthieu Stigler

Last Published

March 30th, 2014

Functions in partsm (1.1-2)

Test for Periodic Variation in the Autoregressive Parameters

Ftest.partsm Class

United Kindom non-durables Consumption (1955.1-1988.4)

United Kindom Workforce (1955.1-1988.4)

fit.partsm Class

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

United Kingdom Gross Domestic Product (1955.1-1988.4)

United Kindom Public Investment (1962.1-1988.4)

summary-methods

Methods for Function 'summary' in Package 'partsm'

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

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

fit.piartsm Class

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

Test for Seasonal Heteroskedasticity

Methods for Function 'show' in Package 'partsm'

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

Real GNP in Germany (1960.1-1990.4)

PAR.MVrepr-methods

Method for Building the Matrices for the Multivariate Representation of a PAR Model

pred.piartsm Class

Autocorrelation function for several transformations of the original data

Fpari.piar.test

Test for a Parameter Restriction in a PAR Model.

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

Multivariate representation of a PAR model

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

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

Predictions for a Restricted Periodic Autoregressive Model

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

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

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

LRur.partsm Class

Graphical Representation of the Periodically Differenced Data

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

United Kingdom Total Consumption (1955.1-1988.4)

Fit a Periodically Integrated Autoregressive Model.

Unemployment in Canada (1960.1-1987.4)

Fit an Autoregressive or Periodic Autoregressive Model