"Multivariate Time Series Analysis with R and Financial Applications"
by Ruey S. Tsay

Wiley Series in Probability and Statistics, John Wiley, ISBN 978-1-118-61790-8 (2014)

This page contains the data sets and selected R commands used in the text.

The MTS package associated with the book is available from R CRAN. The package also contains three data sets of multivariate time series.

These data sets are "qgdp", "ibmspko", and "tenstocks". They can be loaded in R by the command:

data("mts-examples", package="MTS")

All analyses in the text were carried out with R.

Errata of the text.

Solutions to exercises are available for instructors who adapt the book as a textbook for their courses. Instructors may contact Ms Kathleen Pagliaro of Wiley directly via email at kpagliaro@wiley.com or via mail at Ms Kathleen Pagliaro, MS 8-02, John Wiley & Sons, Inc. 111 River Street, Hoboken, NJ 07030, USA. [Please do not contact the author directly.]

Chapter 1: Multivariate Linear Time Series

Data sets used in the chapter and exercises: data-ch1.zip (file names are given in the text)

R package used: MTS including mvtnorm

R commands used: Rcommands_ch1.txt

Chapter 2: Stationary Vector Autoregressive Time Series

Data sets used (including exercises): data-ch2.zip

R package used: MTS

R commands used in Chapter 2: Rcommands_ch2.txt

Chapter 3: Vector Autoregressive Moving-Average Time Series

Data sets used (including exercises): data-ch3.zip

R package used: MTS

R commands used in Chapter 3: Rcommands_ch3.txt

Chapter 4: Structural Specification of VARMA Models

Data sets used (including exercises): data-ch4.zip

R package used: MTS

R commands used in Chapter 4: Rcommands_ch4.txt

Chapter 5: Unit-Root Nonstationary Processes

Data sets used (including exercises): data-ch5.zip

R packages used: MTS, urca, fUnitRoots

R commands used in Chapter 5: Rcommands_ch5.txt

Chapter 6: Factor Models and Selected Topics

Data sets used (including exercises): data-ch6.zip

R package used: MTS

R script used: MBcluster.R (from Mr. Yongning Wang). The script uses several R packages, including pscl, MCMCpack, MASS, mvtnorm, etc.

R commands used in Chapter 6: Rcommands_ch6.txt

Chapter 7: Multivariate Volatility Models

Data sets used (including erercises): data-ch7.zip

R packages used: MTS including fGarch, gogarch

R commands used in Chapter 7: Rcommands_ch7.txt