[R] Spectral Analysis of Time Series in R
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Wed Dec 3 16:07:15 CET 2008
Hello Alexander,
for (3) see the CRAN-package "vars".
Best,
Bernhard
>
>Dear R Community,
>
>I am currently student at the Vienna University of Technology
>writing my
>Diploma thesis on causality in time series and doing some analyses of
>time series in R. I have the following questions:
>
>(1) Is there a function in R to estimate the PARTIAL spectral
>coherence
>of a multivariate time series? If yes, how does this work? Is there an
>test in R if the partial spectral coherence between two variables is
>zero? The functions I know (spectrum, etc.) only work to estimate the
>spectral coherence.
>
>(2) For some causality analysis I need an estimate of the
>inverse of the
>spectral density matrix of a multivariate time series. Is there any
>possibility in R to get this? Actually, I would be happy if I could at
>least get a functional estimate of the spectral density
>matrix. I guess
>this should work because R can plot the kernel density
>estimator of the
>spectral density, so it should be possible to extract the underlying
>function estimate.
>
>(3) Is there any possibility to do Granger Causality in R? That means
>fitting an VAR model and testing if some coefficients are zero.
>
>Thank you very much in advance!
>
>Best Regards,
>Alexander
>T
>
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>
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