| SCMmod {MTS} | R Documentation |
Scalar Component Model specification
Description
For a given set of SCMs and locator of transformation matrix, the program specifies a VARMA model via SCM approach for estimation
Usage
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.
Value
Tmtx |
Specification of the transformation matrix T |
ARpar |
Specification of the VAR parameters |
MApar |
Specification of the VMA parameters |
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Examples
ord=matrix(c(0,1,1,0,0,1),3,2)
Ivor=c(3,1,2)
m1=SCMmod(ord,Ivor,TRUE)