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Periodic Autoregressive Time Series Models in R: The partsm Package

Author

Listed:
  • Javier López-de-Lacalle

    (Universidad del País Vasco)

Programming Language

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.

Suggested Citation

  • Javier López-de-Lacalle, 2005. "Periodic Autoregressive Time Series Models in R: The partsm Package," BILCODEC bc2005-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    • Handle: RePEc:ehu:bilcod:200501
    as

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    File URL: http://ehupv.ehu.es/repec/bilcodec/bc200501.zip
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    File URL: http://ehupv.ehu.es/repec/bilcodec/bc200501.pdf
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    More about this item

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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