Kronfit function

Fitting a VARMA Model via Kronecker Index

Perform estimation of a VARMA model specified by the Kronecker indices

Kronfit(da, kidx, include.mean = T, fixed = NULL, Kpar=NULL, 
  seKpar=NULL, prelim = F, details = F, thres = 1)

Arguments

• da: Data matrix (T-by-k) of a k-dimensional time series
• kidx: The vector consisting of Kronecker indices
• include.mean: A logical switch for including the mean vector in estimation. Default is to include the mean vector.
• fixed: A logical matrix used to set zero parameter constraints. This is used mainly in the command refKronfit.
• Kpar: Parameter vectors for use in model simplification
• seKpar: Standard errors of the parameter estimates for use in model simplification
• prelim: A logical switch for a preliminary estimation.
• details: A logical switch to control output.
• thres: A threshold for t-ratios in setting parameter to zero. Default is 1.

Returns

• data: The observed time series data

• Kindex: Kronecker indices

• ARid: Specification of AR parameters: 0 denotes fixing to zero, 1 denotes fixing to 1, and 2 denoting estimation

• MAid: Specification of MA parameters

• cnst: A logical variable: include.mean

• coef: Parameter estimates

• se.coef: Standard errors of the estimates

• residuals: Residual series

• Sigma: Residual covariance matrix

• aic,bic: Information criteria of the fitted model

• Ph0: Constant vector

• Phi: AR coefficient matrices

• Theta: MA coefficient matrices

References

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

See Also

refKronfit, Kronspec