ARVEC

Abstract

The program ARVEC fits a multivariate autoregression of any specified order p < 21 to a multivariate time series {Y_t = (Y _{t 1},…, Y _tm )′, t = 1,…, n}. To run the program, double click on the icon arvec in the itsmw window (or type ARVEC ↩ from the DOS prompt) and you will see a title page followed by a brief introductory statement describing the program. After reading this statement, follow the program prompts, selecting the option [Enter data] by typing the highlighted letter E. You will then be asked to enter the dimension m ≤ 6 (m ≤ 11 for ITSM50) of Y_t and to select the file containing the observations {Y_t,t = 1,…,n}. For example, to model the bivariate data set LS2.DAT you would enter the dimension m = 2 and then select the file LS2.DAT from the list of data files. The data must be stored as an ASCII file such that row t contains the m components, Y _t = {Y _{t 1},…,Y _tm )′, each separated by at least one blank space. (The sample size n can be at most 700 for ITSM41 and 10000 for ITSM50.) The value of n will then be printed on the screen and you will be given the option of plotting the component series.