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Periodic Autoregressive Time Series Models in R: The partsm Package

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Author Info
Javier López-de-Lacalle () (Universidad del País Vasco)

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Abstract

This paper complements the standard manual pages provided by the partsm R-package carrying out an entire application. This package allows the user to check for periodicity in the data, fit a periodic autoregressive model of order p, PAR(p), select the periodic autoregressive lag order parameter, test for periodic integration, fit a periodically integrated autoregressive, PIAR, model up to order 2, as well as to perform out-of-sample forecasts.

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File URL: http://www.et.bs.ehu.es/biltoki/bilcodec/bc200501.zip
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File Function: program code
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File URL: http://www.et.bs.ehu.es/biltoki/bilcodec/bc200501.pdf
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Publisher Info
Software component provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILCODEC with number bc2005-01.

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Date of creation: 17 Oct 2005
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Handle: RePEc:ehu:bilcod:200501

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Postal: Avda. Lehendakari, Aguirre, 83, 48015 Bilbao
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Web page: http://www.et.bs.ehu.es
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Postal: Dpto. de Economía Aplicada III (Econometría y Estadística), Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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Find related papers by JEL classification:
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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This page was last updated on 2008-7-1.

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