Periodic Autoregressive Time Series Models in R: The partsm Package

Javier López-de-Lacalle ()

BILCODEC from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

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.

JEL-codes: C87 (search for similar items in EconPapers)
Date: 2005-10-17

Downloads: (external link)
http://www.et.bs.ehu ... ilcodec/bc200501.zip program code (application/zip)
http://www.et.bs.ehu ... ilcodec/bc200501.pdf program documentation (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This software item can be ordered from
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

Access Statistics for this software item

More software in BILCODEC from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)
Contact information at EDIRC.
Series data maintained by Ainhoa Zarraga ().