MTSdiag function

Multivariate Time Series Diagnostic Checking

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

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

Returns

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)