multivariate time series

Multivariate break test

In this tutorial, I explain how to implement, in a flexible way, the algorithm of Bai, Lumsdaine, and Stock (1998). Step 1: Lag variables. This function takes as argument a matrix of time series observations and lags it by an order (q). Code compute_lags <- function(Y #time series matrix Y , q) #lag order q { p <- dim(Y)[1] #get the dimensions n <- dim(Y)[2] myDates <- rownames(Y)[(q + 1) : p] #optional: keep the rownames dates of the data frame with final matching Y <- data.