SCMmod function

Scalar Component Model specification

For a given set of SCMs and locator of transformation matrix, the program specifies a VARMA model via SCM approach for estimation

SCMmod(order, Ivor, output)

Arguments

• order: A k-by-2 matrix of the orders of SCM
• Ivor: A k-dimensional vector indicating the location of "1" for each component in the transformation matrix.
• output: A logical switch to control output.

Details

The command specified estimable parameters for a VARMA model via the SCM components. In the output, "2" denotes estimation, "1" denotes fixing the value to 1, and "0" means fixing the parameter to zero.

Returns

• Tmtx: Specification of the transformation matrix T

• ARpar: Specification of the VAR parameters

• MApar: Specification of the VMA parameters

References

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

Author(s)

Ruey S. Tsay

Examples

ord=matrix(c(0,1,1,0,0,1),3,2)
Ivor=c(3,1,2)
m1=SCMmod(ord,Ivor,TRUE)