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portes (version 2.1-3)

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

589

Version

2.1-3

License

GPL (>= 2)

Maintainer

A. McLeod

Last Published

August 8th, 2014

Functions in portes (2.1-3)

fitstable

Fit Parameters to Stable Distributions, McCulloch (1986)

WestGerman

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

DEXCAUS

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

LjungBox

Ljung and Box Portmanteau Test

Hosking

The Modified Multivariate Portmanteau Test, Hosking (1980)

rStable

Generate Data From Stable Distributions

ImpulseVMA

The Impulse Response Function in the Infinite MA or VMA Representation

varima.sim

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

BoxPierce

The Univariate-Multivariate Box and Pierce Portmanteau Test

portes-package

Portmanteau Tests for Univariate and Multivariate Time Series Models

ToeplitzBlock

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

IbmSp500

Monthly Returns of IBM and S&P 500 Index

GetResiduals

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

gvtest

Generalized Variance Portmanteau Test

monthintel

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

LiMcLeod

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

InvertQ

Check Stationary and Invertibility of ARMA or VARMA Models

CRSP

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

portest

Portmanteau Test Statistics

vma.sim

Compute The Vector of Moving Average Model (VMA)

GNPDEF

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