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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
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http://addi.ehu.es/repec/bilcodec/bc200501.zip program code (application/zip)
http://addi.ehu.es/repec/bilcodec/bc200501.pdf program documentation (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ehu:bilcod:200501

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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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