Dear Paul,

thanks for the reply,

On 14/09/2007, Paul Gilbert <pgilbert@bank-banque-canada.ca> wrote:
>
> Simone Giannerini wrote:
> > Dear Paul,
> >
> > there is no mention to the pacf in the multivariate setting in the book
> > you suggested.
>
> My apologies, I should have looked more carefully and realized the pacf
> discussion in Granger and Newbold is all univariate.
>
> > As I mentioned in private I suspect that pacf() in the multivariate case
> > computes the
> > partial autoregression matrix (in the terminology of Reinsel) rather
> > than the partial autocorrelation matrix
>
> It looks like pacf() uses the calculation in stats:::ar.yw.default , so
> roughly sounds consistent with what you say. I do think parts of this
> code pre-date Reisel's book, so inconsistency with his book would
> probably be imperfect foresight.
>
> BTW, I think bug reports with suggested fixes are usually more useful.
> And, at the very least, it seems the references in the documentation
> could be improved.


Yes, my intention is to have a look at a way to fix the problem once the
problem has been recognized as such.
I did not have a look at the source code yet but if it is C I am afraid I
won't be able to go very far as I use fortran instead.

Regards,

Simone


Paul Gilbert
>
> > as the two coincide in the univariate case but are different in the
> > multivariate case as stated explicitly
> > in Reisel (Sec. 3.3).
> > This would explain the coefficients well above 1 (in modulus) in the
> > example I have given.
> > To support my statement you can fit A VAR model to the data and compare
> > the coefficients with the results
> > from pacf():
> >
> > set.seed(10)
> > x <- rnorm(1000,sd=10000)
> > y <- rnorm(1000,sd=1)
> >
> > library(vars);
> > mod1 <- VAR(ts(cbind(x,y)),p=4,type="none"); # fit a VAR (OLS)
> >
> > ## Have a look at estimated coefficients
> >
> >>  noquote(formatC(mod1$varresult$x$coefficients,format="f"))
> > ## Edited by me, compare with the first column of the results below from
> > the pacf (pacf(....)$acf[,1,])
> >      x.l1     x.l2    x.l3    x.l4
> >      0.047    0.013   0.004   0.014
> >      y.l1     y.l2    y.l3    y.l4
> >      374.117  72.758 -526.452 126.610
> >>  noquote(formatC(mod1$varresult$y$coefficients,format="f"))
> > ## Edited by me, compare with the second column of the results below
> > from the pacf (pacf(....)$acf[,2,])
> >      x.l1    x.l2     x.l3    x.l4
> >      0.000   -0.000   0.000   0.000
> >      y.l1    y.l2     y.l3    y.l4
> >     -0.046   -0.025  -0.033  -0.020
> >
> > pacf(ts(cbind(x,y)),plot=FALSE,lag.max=4)
> >
> > Partial autocorrelations of series 'ts(cbind(x, y))', by lag
> >
> > , , x
> >
> >  x             y
> >     0.047 ( 1)    0.000 (-1)
> >     0.011 ( 2)    0.000 (-2)
> >     0.005 ( 3)    0.000 (-3)
> >     0.013 ( 4)    0.000 (-4)
> >
> > , , y
> >
> >  x             y
> >   374.052 ( 1)   -0.045 ( 1)
> >    66.717 ( 2)   -0.024 ( 2)
> >  -535.810 ( 3)   -0.031 ( 3)
> >   120.802 ( 4)   -0.020 ( 4)
> >
> > As you can see the coefficients fairly agree.
> > I might file a bug report in some days unless someone will prove me
> > wrong before.
> >
> > Regards,
> >
> > Simone
> >
> >
> >
> > On 11/09/2007, *Paul Gilbert* <pgilbert@bank-banque-canada.ca
> > <mailto:pgilbert@bank-banque-canada.ca>> wrote:
> >
> >     I think the reference for pacf is
> >
> >     @BOOK{GraNew77,
> >        author =    {Granger, C. W. J. and Newbold, Paul},
> >        title =     {Forecasting Economic Time Series},
> >        publisher = {Academic Press},
> >        year =      1977
> >        }
> >
> >     It certainly would not be Reisel's book, as parts of the code
> predate
> >     that by many years.
> >
> >     Paul Gilbert
> >
> >     Simone Giannerini wrote:
> >      > Dear all,
> >      >
> >      > I found the following behaviour with pacf() in the multivariate
> >     case,
> >      >
> >      > set.seed(10)
> >      > x <- rnorm(1000,sd=10000)
> >      > y <- rnorm(1000,sd=1)
> >      > pacf(ts(cbind(x,y)),plot=FALSE,lag.max=10)
> >      >
> >      > Partial autocorrelations of series 'cbind(x, y)', by lag
> >      >
> >      > , , x
> >      >
> >      >  x              y
> >      >     0.047 (  1)    0.000 ( -1)
> >      >     0.011 (  2)    0.000 ( -2)
> >      >     0.005 (  3)    0.000 ( -3)
> >      >     0.013 (  4)    0.000 ( -4)
> >      >     0.050 (  5)    0.000 ( -5)
> >      >     0.034 (  6)    0.000 ( -6)
> >      >     0.026 (  7)    0.000 ( -7)
> >      >    -0.029 (  8)    0.000 ( -8)
> >      >    -0.010 (  9)    0.000 ( -9)
> >      >    -0.013 ( 10)    0.000 (-10)
> >      >
> >      > , , y
> >      >
> >      >  x              y
> >      >   374.052 (  1)   -0.045 (  1)
> >      >    66.717 (  2)   -0.024 (  2)
> >      >  -535.810 (  3)   -0.031 (  3)
> >      >   120.802 (  4)   -0.020 (  4)
> >      >   142.824 (  5)    0.004 (  5)
> >      >  -211.711 (  6)   -0.010 (  6)
> >      >   201.856 (  7)    0.058 (  7)
> >      >   286.079 (  8)   -0.035 (  8)
> >      >  -134.057 (  9)    0.032 (  9)
> >      >   -18.200 ( 10)    0.019 ( 10)
> >      >
> >      > Since there are multiple ways of defining the pacf for
> >     multivariate time
> >      > series
> >      > (see e.g. G.C. Reinsel, Elements of multivariate time series
> >     analysis, II
> >      > edition, Springer, section 3.3) and given that
> >      > in ?pacf there is no reference to articles or books regarding its
> >      > computation
> >      > I do not know whether this behaviour is expected or it is a bug
> >     instead.
> >      > In the first case could you provide a reference for it? In the
> >     second case I
> >      > might file a bug report.
> >      > Thank you for the great work you are doing for the scientific
> >     community.
> >      >
> >      > kind regards,
> >      >
> >      > Simone Giannerini
> >      >
> >      > WINDOWS
> >      >
> >      > platform       i386-pc-mingw32
> >      > arch           i386
> >      > os             mingw32
> >      > system         i386, mingw32
> >      > status
> >      > major          2
> >      > minor          5.1
> >      > year           2007
> >      > month          06
> >      > day            27
> >      > svn rev        42083
> >      > language       R
> >      > version.string R version 2.5.1 (2007-06-27)
> >      >
> >      > LINUX
> >      >
> >      >
> >      >>R.Version()
> >      >
> >      > $platform
> >      > [1] "x86_64-unknown-linux-gnu"
> >      >
> >      > $arch
> >      > [1] "x86_64"
> >      >
> >      > $os
> >      > [1] "linux-gnu"
> >      >
> >      > $system
> >      > [1] "x86_64, linux-gnu"
> >      >
> >      > $status
> >      > [1] ""
> >      >
> >      > $major
> >      > [1] "2"
> >      >
> >      > $minor
> >      > [1] "5.1"
> >      >
> >      > $year
> >      > [1] "2007"
> >      >
> >      > $month
> >      > [1] "06"
> >      >
> >      > $day
> >      > [1] "27"
> >      >
> >      > $`svn rev`
> >      > [1] "42083"
> >      >
> >      > $language
> >      > [1] "R"
> >      >
> >      > $version.string
> >      > [1] "R version 2.5.1 (2007-06-27)"
> >
> ====================================================================================
> >
> >     La version française suit le texte anglais.
> >
> >
> ------------------------------------------------------------------------------------
> >
> >
> >     This email may contain privileged and/or confidential information,
> >     and the Bank of
> >     Canada does not waive any related rights. Any distribution, use, or
> >     copying of this
> >     email or the information it contains by other than the intended
> >     recipient is
> >     unauthorized. If you received this email in error please delete it
> >     immediately from
> >     your system and notify the sender promptly by email that you have
> >     done so.
> >
> >
> ------------------------------------------------------------------------------------
> >
> >
> >     Le présent courriel peut contenir de l'information privilégiée ou
> >     confidentielle.
> >     La Banque du Canada ne renonce pas aux droits qui s'y rapportent.
> >     Toute diffusion,
> >     utilisation ou copie de ce courriel ou des renseignements qu'il
> >     contient par une
> >     personne autre que le ou les destinataires désignés est interdite.
> >     Si vous recevez
> >     ce courriel par erreur, veuillez le supprimer immédiatement et
> >     envoyer sans délai à
> >     l'expéditeur un message électronique pour l'aviser que vous avez
> >     éliminé de votre
> >     ordinateur toute copie du courriel reçu.
> >
> >
> >
> >
> > --
> > ______________________________________________________
> >
> > Simone Giannerini
> > Dipartimento di Scienze Statistiche "Paolo Fortunati"
> > Universita' di Bologna
> > Via delle belle arti 41 - 40126  Bologna,  ITALY
> > Tel: +39 051 2098262  Fax: +39 051 232153
> > http://www2.stat.unibo.it/giannerini/
> > ______________________________________________________
>
> ====================================================================================
>
> La version française suit le texte anglais.
>
>
> ------------------------------------------------------------------------------------
>
> This email may contain privileged and/or confidential information, and the
> Bank of
> Canada does not waive any related rights. Any distribution, use, or
> copying of this
> email or the information it contains by other than the intended recipient
> is
> unauthorized. If you received this email in error please delete it
> immediately from
> your system and notify the sender promptly by email that you have done so.
>
>
> ------------------------------------------------------------------------------------
>
> Le présent courriel peut contenir de l'information privilégiée ou
> confidentielle.
> La Banque du Canada ne renonce pas aux droits qui s'y rapportent. Toute
> diffusion,
> utilisation ou copie de ce courriel ou des renseignements qu'il contient
> par une
> personne autre que le ou les destinataires désignés est interdite. Si vous
> recevez
> ce courriel par erreur, veuillez le supprimer immédiatement et envoyer
> sans délai à
> l'expéditeur un message électronique pour l'aviser que vous avez éliminé
> de votre
> ordinateur toute copie du courriel reçu.
>



-- 
______________________________________________________

Simone Giannerini
Dipartimento di Scienze Statistiche "Paolo Fortunati"
Universita' di Bologna
Via delle belle arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098262  Fax: +39 051 232153
http://www2.stat.unibo.it/giannerini/
______________________________________________________

	[[alternative HTML version deleted]]

