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portes (version 1.04)

Portmanteau Tests for ARMA, VARMA, ARCH, and FGN Models

Description

This package contains a set of portmanteau diagnostic checks for univariate and multivariate time series.

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Version

Install

install.packages('portes')

Monthly Downloads

589

Version

1.04

License

GPL (>= 2)

Maintainer

A. McLeod

Last Published

September 9th, 2010

Functions in portes (1.04)

ImpulseVMA

The Impulse Response Function in the Infinite MA or VMA Representation

simvma

Compute The Vector of Moving Average Model (VMA)

house

The Monthly House Sales and House Starts.

blockToeplitz

Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices

BoxPierce

The Univariate-Multivariate Box and Pierce Portmanteau Test

monthintel

The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003

LjungBox

Ljung and Box Portmanteau Test

DEXCAUS

Canada/US Foreign Exchanges Rates, Daily, Sept 6, 1996 to Sept. 5, 1996.

WestGerman

Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4

GVStat

Generalized Variance Portmanteau Test

FitStable

Fit Parameters to Stable Distributions, McCulloch (1986)

LiMcLeod

The Modified Multivariate Portmanteau Test, Li-McLeod (1981)

portes-package

Portmanteau Tests for ARMA, VARMA, ARCH, and FGN Models

simvarma

Simulate Data From ARMA(p,q) or VARMA(p,q) Models

monthibmspln

The Monthly Log Returns of IBM Stock and the S&P 500 Index

InvertQ

Check Stationary and Invertibility of ARMA or VARMA Models

rstable

Generate Data From Stable Distributions

Hosking

The Modified Multivariate Portmanteau Test, Hosking (1980)

portes

Parametric Bootstrap Portmanteau Tests

Get.Resid

Extract Residuals from Fitted ARIMA, VAR, or FGN Model

CRSP

Monthly simple returns of the CRSP value-weighted index, 1926 to 1997