portes-package |
Portmanteau Tests for Time Series Models |
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, Jan. 4, 1971 to Sept. 5, 1996. |
fitstable |
Fit Parameters to Stable Distributions, McCulloch (1986) |
GetResiduals |
Extract Residuals from Fitted ARIMA, VAR, or FGN Model |
gvtest |
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 |
portest |
Portmanteau Test Statistics |
rstable |
Generate Data From Stable Distributions |
ToeplitzBlock |
Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices |
varima.sim |
Simulate Data From Nonseasonal ARIMA(p,d,q) or VARIMA(p,d,q) Models |
vma.sim |
Compute The Vector of Moving Average Model (VMA) |
WestGerman |
Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4 |