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partsm (version 1.1-3)

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

261

Version

1.1-3

License

GPL-2

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Repository

https://github.com/MatthieuStigler/partsm

Maintainer

Matthieu Stigler

Last Published

November 25th, 2020

Functions in partsm (1.1-3)

Fpari.piar.test

Test for a Parameter Restriction in a PAR Model.

Real GNP in Germany (1960.1-1990.4)

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

Unemployment in Canada (1960.1-1987.4)

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

fit.piartsm Class

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

Graphical Representation of the Periodically Differenced Data

United Kingdom Total Consumption (1955.1-1988.4)

Fit a Periodically Integrated Autoregressive Model.

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

United Kindom Public Investment (1962.1-1988.4)

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

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

United Kindom Workforce (1955.1-1988.4)

United Kindom non-durables Consumption (1955.1-1988.4)

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

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

Autocorrelation function for several transformations of the original data

Multivariate representation of a PAR model

Test for Periodic Variation in the Autoregressive Parameters

Ftest.partsm Class

Methods for Function 'show' in Package 'partsm'

summary-methods

Methods for Function 'summary' in Package 'partsm'

pred.piartsm Class

LRur.partsm Class

fit.partsm Class

Predictions for a Restricted Periodic Autoregressive Model

Fit an Autoregressive or Periodic Autoregressive Model

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

United Kingdom Gross Domestic Product (1955.1-1988.4)

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

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

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

Test for Seasonal Heteroskedasticity

PAR.MVrepr-methods

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