Dear Paul,
thanks for the reply,
On 14/09/2007, Paul Gilbert <[EMAIL PROTECTED]> wrote:
>
> Simone Giannerini wrote:
> > Dear Paul,
> >
> > there is no mention to the pacf in the multivariate setting in the book
> > you suggested.
>
> My apologies, I should have looked more carefully and realized
Simone Giannerini wrote:
> Dear Paul,
>
> there is no mention to the pacf in the multivariate setting in the book
> you suggested.
My apologies, I should have looked more carefully and realized the pacf
discussion in Granger and Newbold is all univariate.
> As I mentioned in private I suspect
Dear Paul,
there is no mention to the pacf in the multivariate setting in the book you
suggested.
As I mentioned in private I suspect that pacf() in the multivariate case
computes the
partial autoregression matrix (in the terminology of Reinsel) rather than
the partial autocorrelation matrix
as th
I think the reference for pacf is
@BOOK{GraNew77,
author ={Granger, C. W. J. and Newbold, Paul},
title = {Forecasting Economic Time Series},
publisher = {Academic Press},
year = 1977
}
It certainly would not be Reisel's book, as parts of the code predate
that by many
Dear all,
I found the following behaviour with pacf() in the multivariate case,
set.seed(10)
x <- rnorm(1000,sd=1)
y <- rnorm(1000,sd=1)
pacf(ts(cbind(x,y)),plot=FALSE,lag.max=10)
Partial autocorrelations of series 'cbind(x, y)', by lag
, , x
x y
0.047 ( 1)0.000 ( -1
