VMAorder function

VMA Order Specification

Performs multivariate Ljung-Box tests to specify the order of a VMA process

VMAorder(x, lag = 20)

Arguments

• x: Data matrix of the observed k-dimensional time series. Each column represents a time series.
• lag: The maximum VMA order entertained. Default is 20.

Details

For a given lag, the command computes the Ljung-Box statistic for testing rho_j = ... = rho_lag = 0, where j = 1, 2, ..., lag. For a VMA(q) process, the Ljung-Box statistics should be significant for the first q lags, and insignificant thereafter.

Returns

The Q-statistics and p-value plot

References

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

Author(s)

Ruey S. Tsay

Examples

zt=matrix(rnorm(600),200,3)
VMAorder(zt)