diffM function

Difference of multivariate time series

Performs the difference operation of a vector time series

diffM(zt, d = 1)

Arguments

• zt: A vector time series (T by k, with sample size T and dimension k)
• d: Order of differencing. Default is d=1.

Details

When d = 1, the command is equivalent to apply(zt,2,diff)

Returns

The differenced time series

Author(s)

Ruey S Tsay

Examples

data("mts-examples",package="MTS")
zt=log(qgdp[,3:5])
xt=diffM(zt)