Portmanteau Tests for ARMA, VARMA, ARCH, and FGN Models


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Documentation for package ‘portes’ version 1.04

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portes-package Portmanteau Tests for ARMA, VARMA, ARCH, and FGN Models
blockToeplitz Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices
BoxPierce The Univariate-Multivariate Box and Pierce Portmanteau Test
CRSP Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
DEXCAUS Canada/US Foreign Exchanges Rates, Daily, Sept 6, 1996 to Sept. 5, 1996.
FitStable Fit Parameters to Stable Distributions, McCulloch (1986)
Get.Resid Extract Residuals from Fitted ARIMA, VAR, or FGN Model
GVStat Generalized Variance Portmanteau Test
Hosking The Modified Multivariate Portmanteau Test, Hosking (1980)
house The Monthly House Sales and House Starts.
ImpulseVMA The Impulse Response Function in the Infinite MA or VMA Representation
InvertQ Check Stationary and Invertibility of ARMA or VARMA Models
LiMcLeod The Modified Multivariate Portmanteau Test, Li-McLeod (1981)
LjungBox Ljung and Box Portmanteau Test
monthibmspln The Monthly Log Returns of IBM Stock and the S&P 500 Index
monthintel The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003
portes Parametric Bootstrap Portmanteau Tests
rstable Generate Data From Stable Distributions
simvarma Simulate Data From ARMA(p,q) or VARMA(p,q) Models
simvma Compute The Vector of Moving Average Model (VMA)
WestGerman Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4