MTS: Corner – R documentation

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Corner

Compute the Corner table for transfer function model specification

Description

For a given dependent variable and an input variable, the program computes the Corner table for specifying the order (r,s,d) of a transfer function

Usage

Corner(y,x,Nrow=11,Ncol=7)

Arguments

`y`	A pre-whitened dependent (or output) variable
`x`	A pre-whitened independent (or input) variable. It should be a white noise series
`Nrow`	The number of rows of the Corner table. Default is 11.
`Ncol`	The number of columns of the Corner table. Default is 7.

Details

For the pair of pre-whitened output and input variables, the program compute the Corner table and its simplified version for specifying the order of a transfer function.

Value

corner

The Corner table

Author(s)

Ruey S. Tsay

MTS

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8