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portes (version 2-1)

Portmanteau Tests for Univariate and Multivariate Time Series 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

519

Version

2-1

License

GPL (>= 2)

Maintainer

A. McLeod

Last Published

April 17th, 2013

Functions in portes (2-1)

CRSP

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

GetResiduals

Extract Residuals from ARIMA, VAR, FGN, GARCH, or any Fitted Time Series Model

BoxPierce

The Univariate-Multivariate Box and Pierce Portmanteau Test

varima.sim

Simulate Data From Nonseasonal ARIMA(p,d,q) or VARIMA(p,d,q) Models

GNPDEF

GNP Deflator for U.S. Inflation Data from January 01, 1947 to April 01, 2010.

IbmSp500

Monthly Returns of IBM and S&P 500 Index

monthintel

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

ToeplitzBlock

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

DEXCAUS

Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.

LiMcLeod

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

ImpulseVMA

The Impulse Response Function in the Infinite MA or VMA Representation

portes-package

Portmanteau Tests for Univariate and Multivariate Time Series Models

vma.sim

Compute The Vector of Moving Average Model (VMA)

gvtest

Generalized Variance Portmanteau Test

rStable

Generate Data From Stable Distributions

LjungBox

Ljung and Box Portmanteau Test

Hosking

The Modified Multivariate Portmanteau Test, Hosking (1980)

portest

Portmanteau Test Statistics

InvertQ

Check Stationary and Invertibility of ARMA or VARMA Models

WestGerman

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

fitstable

Fit Parameters to Stable Distributions, McCulloch (1986)