Kronid function

Kronecker Index Identification

Find the Kronecker indices of a k-dimensional time series

Kronid(x, plag = 5, crit = 0.05)

Arguments

• x: Data matrix (T-by-k) of a k-dimensional time series
• plag: The number of lags used to represent the past vector. Default is 5.
• crit: Type-I error used in testing for zero canonical correlations. Deafult is 0.05.

Returns

• index: Kronecker indices

• tests: Chi-square test statistics

References

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

Author(s)

Ruey S. Tsay

Examples

phi=matrix(c(0.2,-0.6,.3,1.1),2,2); sigma=diag(2); theta=-0.5*sigma
m1=VARMAsim(300,arlags=c(1),malags=c(1),phi=phi,theta=theta,sigma=sigma)
zt=m1$series
Kronid(zt)