[R] partial autoregression matrix function

From: Samuel E. Kemp <sekemp_at_glam.ac.uk>
Date: Tue 05 Jul 2005 - 00:45:35 EST


Hi,

Does anyone know of a function in R that is capable of calculating the partial autoregression matrix function for vector autoregressive moving average (VARMA) models?

The dse package has functions capable of simulating and estimating VARMA models, but I did not notice a function for model identification.

Any help would be greatly appreciated.

Kind regards,

Sam.



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