SCMid function

Scalar Component Identification

Find the overall order of a VARMA process via the scalar component model approach

SCMid(zt, maxp = 5, maxq = 5, h = 0, crit = 0.05, output = FALSE)

Arguments

• zt: The T-by-k data matrix of a k-dimensional time series
• maxp: Maximum AR order entertained. Default is 5.
• maxq: Maximum MA order entertained. Default is 5.
• h: The additional past lags used in canonical correlation analysis. Default is 0.
• crit: Type-I error of the chi-square tests used.
• output: A logical switch to control the output.

Returns

• Nmtx: The table of the numbers of zero canonical correlations

• DDmtx: The diagonal difference table of the number of zero canonical correlations

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,-0.6,0.3,1.1),2,2); sigma=diag(2)
m1=VARMAsim(300,arlags=c(1),phi=phi,sigma=sigma)
zt=m1$series
m2=SCMid(zt)