portes

The Univariate-Multivariate Box and Pierce Portmanteau Test

Monthly simple returns of the CRSP value-weighted index, 1926 to 1997

Canada/US Foreign Exchanges Rates, Daily, Jan. 4, 1971 to Sept. 5, 1996.

Quarterly U.K. economic time series from 1957 Q3 to 1967 Q4

GNP Deflator for U.S. Inflation Data from January 01, 1947 to April 01, 2010.

Extract Residuals from ARIMA, VAR, or any Simulated Fitted Time Series Model

The Modified Multivariate Portmanteau Test, Hosking (1980)

Monthly Returns of IBM and S&P 500 Index

The Impulse Response Function in the Infinite MA or VMA Representation

Check Stationary and Invertibility of ARMA or VARMA Models

The Modified Multivariate Portmanteau Test, Li-McLeod (1981)

Ljung and Box Portmanteau Test

Generalized Variance Portmanteau Test

Toeplitz Block Matrix of Hosking (1980) Auto and Cross Correlation Matrices

Quarterly, West German Investment, Income, and Consumption: 1960Q1-1982Q4

Fit Parameters to Stable Distributions, McCulloch (1986)

The Monthly Log Stock Returns of Intel Corporation from January 1973 to December 2003

Portmanteau Tests for Univariate and Multivariate Time Series Models

Portmanteau Test Statistics

Generate Data From Stable Distributions

Simulate Data From Seasonal/Nonseasonal ARIMA(p,d,q)*(ps,ds,qs)_s or VARIMA(p,d,q)*(ps,ds,qs)_s Models

Compute The Vector of Moving Average Model (VMA)