Hi, Does anyone know of a function in R that is capable of calculating the partial autoregression matrix function for vector autoregressive moving average (VARMA) models? The dse package has functions capable of simulating and estimating VARMA models, but I did not notice a function for model identification. Any help would be greatly appreciated. Kind regards, Sam.
partial autoregression matrix function
2 messages · Samuel E. Kemp, Paul Gilbert
Samuel E. Kemp wrote:
Hi, Does anyone know of a function in R that is capable of calculating the partial autoregression matrix function for vector autoregressive moving average (VARMA) models?
?pacf
The dse package has functions capable of simulating and estimating VARMA models, but I did not notice a function for model identification.
In dse you might also look at ?checkResiduals ?informationTests Paul Gilbert
Any help would be greatly appreciated. Kind regards, Sam.
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