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portes (version 5.0)

Portmanteau Tests for Univariate and Multivariate Time Series Models

Description

Contains common univariate and multivariate portmanteau test statistics in time series based on the asymptotic distributions and the Monte Carlo significance tests. Simulate univariate and multivariate data from seasonal and nonseasonal time series models. See Mahdi and McLeod (2012) and Mahdi and McLeod (2020) .

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Version

Install

install.packages('portes')

Monthly Downloads

995

Version

5.0

License

GPL (>= 2)

Maintainer

Esam Mahdi

Last Published

December 15th, 2020

Functions in portes (5.0)

EconomicUK

Quarterly U.K. economic time series from 1957 Q3 to 1967 Q4
IbmSp500

Monthly Returns of IBM and S&P 500 Index
Hosking

The Modified Multivariate Portmanteau Test, Hosking (1980)
DEXCAUS

Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.
GNPDEF

GNP Deflator for U.S. Inflation Data from January 01, 1947 to April 01, 2010.
BoxPierce

The Univariate-Multivariate Box and Pierce Portmanteau Test
InvertQ

Check Stationary and Invertibility of ARMA or VARMA Models
ImpulseVMA

The Impulse Response Function in the Infinite MA or VMA Representation
GetResiduals

Extract Residuals from ARIMA, VAR, or any Simulated Fitted Time Series Model
CRSP

Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
WestGerman

Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4
MahdiMcLeod

Generalized Variance Portmanteau Test
rStable

Generate Data From Stable Distributions
portest

Portmanteau Test Statistics
ToeplitzBlock

Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
portes-package

Portmanteau Tests for Univariate and Multivariate Time Series Models
monthintel

The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003
varima.sim

Simulate Data From Seasonal/Nonseasonal ARIMA(p,d,q)*(ps,ds,qs)_s or VARIMA(p,d,q)*(ps,ds,qs)_s Models
vma.sim

Compute The Vector of Moving Average Model (VMA)
fitstable

Fit Parameters to Stable Distributions, McCulloch (1986)
LjungBox

Ljung and Box Portmanteau Test
LiMcLeod

The Modified Multivariate Portmanteau Test, Li-McLeod (1981)