Learn R Programming

MTS

Installation

git clone git://github.com/d-/MTS.git
R CMD build MTS/

This will create a file named "MTS_VERSION.tar.gz".

Then move the file into your working directory in R and type:

install.packages("MTS_VERSION.tar.gz",repos=NULL,type="source")
library(MTS)

Alternatively, a simpler solution is to use the 'devtools' package.

install.packages("devtools")
library(devtools)
install_github('MTS','d-')

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Version

Install

install.packages('MTS')

Monthly Downloads

1,947

Version

1.2.1

License

Artistic License 2.0

Maintainer

Last Published

April 11th, 2022

Functions in MTS (1.2.1)

Error-Correction VAR Models

Forecast Error Variance Decomposition

Extended Cross-Correlation Matrices

Bayesian Vector Autoregression

Error-Correction VAR Model 1

Granger Causality Test

Back-Test of a Transfer Function Model with Two Input Variables

Exponentially Weighted Moving-Average Volatility

Compute the Corner table for transfer function model specification

Multivariate Time Series Diagnostic Checking

Fitting a VARMA Model via Kronecker Index

Multivariate Time Series Plot

MTS Internal Functions

Impluse response function of a fitted VARX model

Pi Weight Matrices

VAR Model with Exogenous Variables

Psi Wights Matrices

Polynomial Matrix Product

Alternative Polynomial Matrix Product

Multivariate ARCH test

Multivariate Time Series

Multivariate Linear Model

Prediction of a fitted VARMA model via Kronfit, using Kronecker indices

Multivariate Conditional Heteroscedastic Model Checking

Multivariate Cholesky Volatility Model

Regression Model with Time Series Errors

Vector Autoregressive Moving-Average Models

Kronecler Index Specification

Scalar Component Identification

VAR Psi-weights

Scalar Component Model Fitting

Vector Autoregressive Moving-Average Models (Cpp)

Autocovariance Matrices of a VARMA Model

VARMA Model with Missing Value

Partial Missing Value of a VARMA Series

Kronecker Index Identification

Impulse Response Functions of a VARMA Model

VAR Order Specification

Scalar Component Model Specification II

Prediction of a fitted regression model with time series errors

VAR order specification I

Vector Moving Average Model (Cpp)

VMA Order Specification

Sample Constrained Correlations

Recursive Least Squares

Constrained Factor Model

Monthly simple returns of the stocks of International Business Machines (IBM) and Coca Cola (KO) and the S&P Composite index (SP)

Refining Estimation of VARMA Model via SCM Approach

VMA Estimation with Exact likelihood

VMA Model with Selected Lags

Refining a VAR Model

Generating a VARMA Process

Scalar Component Model specification

VARMA Prediction

Backtesting of a scalar ARIMA model

Vector Moving Average Model

ARCH test for univariate time series

VAR Model with Selected Lags

Asymptotic Principal Component Analysis

Cross-Correlation Matrices

Stock-Watson Diffusion Index Forecasts

Multivariate Ljung-Box Q Statistics

Multivariate t-Copula Volatility Model

Quarterly real gross domestic products of United Kingdom, Canada, and the United States

Refining Error-Correction Model for VAR series

Square Root Matrix

Transfer Function Model with One Input

Refining a VARX Model

Refining VARMA Estimation

Refining ECM for a VAR process

Monthly simple returns of ten U.S. stocks

Refining VMA Models

Vector Autoregressive Model

Transfer Function Model with Two Input Variables

Preliminary Fitting of DCC Models

VARX Order Specification

Difference of multivariate time series

Transfer Function Model

Seasonal VARMA Model Estimation (Cpp)

Refining VMA Estimation via the Exact Likelihood Method

Prediction of a fitted multiplicative seasonal VARMA model

VARX Model Prediction

Half-Stacking Vector of a Symmetric Matrix

Matrix constructed from output of the Vech Command. In other words, restore the original symmetric matrix from its half-stacking vector.

Common Volatility

Dynamic Cross-Correlation Model Fitting

Refining a Seasonal VARMA Model

Refining VARMA Estimation via Kronecker Index Approach

Refining a Regression Model with Time Series Errors

Seasonal VARMA Model Estimation