Multivariate Time Series Analysis with R and Financial Applications<br />
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 use the book as a textbook. To register to receive the Solutions, please visit this site and register: http://bcs.wiley.com/he-bcs/Books?action=resource&bcsId=9001&itemId=0470414359&resourceId=35641
[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