Displaying 2 results from an estimated 2 matches for "newbold".
Did you mean:
newbol
2011 Feb 18
0
Is the Diebold Mariano Test in forecast package adjusted?
Hello
I would like to know if the Diebold Mariano Test in the forecast Package is adjusted to small samples (as Harvey, Leybourne, Newbold suggest) If not, how can I do that manually?
Paka
2007 Sep 10
1
partial correlation function for multivariate time series
Dear all,
I found the following behaviour with pacf() in the multivariate case,
set.seed(10)
x <- rnorm(1000,sd=10000)
y <- rnorm(1000,sd=1)
pacf(ts(cbind(x,y)),plot=FALSE,lag.max=10)
Partial autocorrelations of series 'cbind(x, y)', by lag
, , x
x y
0.047 ( 1) 0.000 ( -1)
0.011 ( 2) 0.000 ( -2)
0.005 ( 3) 0.000 ( -3)
0.013 ( 4)