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Im using the MTS package since I'm basing myself on Tsay (2014). I'm trying to fit a model with mexican unemployment rates and CPI. doing the eccm I get:

0 1 2 3 4 5 6
0 0.0000 0.0052 0.0560 0.0616 0.0276 0.0129 0.1035
1 0.0000 0.0000 0.5188 0.0659 0.0003 0.0022 0.6971
2 0.0003 0.0261 0.0001 0.0005 0.0000 0.0101 0.2774
3 0.0015 0.0408 0.0448 0.0010 0.0022 0.0161 0.1256
4 0.0037 0.0160 0.1507 0.7338 0.0768 0.4615 0.3397
5 0.0650 0.2512 0.3963 0.8729 0.8839 0.6567 0.9994

So i thought VARMA(1,2), VARMA(2,1) where good options. The problem is that R tells me that when they try to solve matrices they get NaNs. But if I do a VARMA(2,0) I get no problems.

Am I choosing right? and if so, what should i do?

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  • $\begingroup$ Please use capital letter where appropriate, such as for I (not i) and at the beginning of a sentence. Thank you. $\endgroup$
    – Richard Hardy
    Commented Oct 16 at 8:51

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