MTS: MTSdiag – R documentation

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MTSdiag

Multivariate Time Series Diagnostic Checking

Description

Performs model checking for a fitted multivariate time series model, including residual cross-correlation matrices, multivariate Ljung-Box tests for residuals, and residual plots

Usage

MTSdiag(model, gof = 24, adj = 0, level = F)

Arguments

`model`	A fitted multivariate time series model
`gof`	The number of lags of residual cross-correlation matrices used in the tests
`adj`	The adjustment for degrees of freedom of Ljung-Box statistics. Typically, the number of fitted coefficients of the model. Default is zero.
`level`	Logical switch for printing residual cross-correlation matrices

Value

Various test statistics, their p-values, and residual plots.

Author(s)

Ruey S Tsay

Examples

phi=matrix(c(0.2,-0.6,0.3,1.1),2,2); sigma=diag(2)
m1=VARMAsim(200,arlags=c(1),phi=phi,sigma=sigma)
zt=m1$series
m2=VAR(zt,1,include.mean=FALSE)
MTSdiag(m2)

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