Hi, Does anyone know of a function in R that is capable of calculating the partial autoregression matrix function for vector autoregressive moving average (VARMA) models? The dse package has functions capable of simulating and estimating VARMA models, but I did not notice a function for model identification. Any help would be greatly appreciated. Kind regards, Sam.
Samuel E. Kemp wrote:> Hi, > > Does anyone know of a function in R that is capable of calculating the > partial autoregression matrix function for vector autoregressive moving > average (VARMA) models??pacf> > The dse package has functions capable of simulating and estimating > VARMA models, but I did not notice a function for model identification.In dse you might also look at ?checkResiduals ?informationTests Paul Gilbert> > Any help would be greatly appreciated. > > Kind regards, > > Sam. > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html >