GAUSS varmaFit example

Introduction

This example estimates a VARMA(3,0,0) model following Example 4.1 found on page 86 of Reinsel, G.C. Elements of Multivariate Time Series Analysis. The dataset "mink.csv" contains the data.

Step 1: Load data

This example loads the data using the GAUSS function loadd. The function loadd utilizes the GAUSS formula string syntax and allows users to load and transform specific variables directly from the dataset.

new;
library tsmt;

// Load data
// Create file name with full path
fname = getGAUSSHome() $+ "pkgs/tsmt/examples/mink.csv";

// Load two variables from dataset
y = loadd(fname, "LogMink + LogMusk");

// Difference the data
y = vmdiffmt(y, 1);

Step 2: Estimate The Model

Because this model is strictly a VAR model, the only additional input after the data matrix is the AR order.

// Estimate the parameters of the VAR(3) model
// and print diagnostic information
call varmaFit(y, 3);

Step 3: Output

The coefficient estimates from varmaFit read

Phi

Plane [1,.,.]

 -0.065819    0.56348
  -0.55990    0.25347

Plane [2,.,.]

   0.16426   -0.27348
  -0.31914   -0.30793

Plane [3,.,.]

  -0.21124    0.34758
  -0.45904    0.32457

In addition to estimating coefficients, varmaFit provides a number of diagnostic tests. The tests include unit root and cointegration tests:

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