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**CALL TSPEARS(***arcoef, ev, nar, aic, data*

*<,maxlag, opt, missing, print>***);**

The inputs to the TSPEARS subroutine are as follows:

*data*- specifies a
*T*×1 (or 1 ×*T*) data matrix. *maxlag*- specifies the maximum lag of the periodic AR process.
This value should be less than [1/2
*J*] of the input series. The default is*maxlag*=10. *opt*- specifies an options vector.

*opt*[1]- specifies the mean deletion option.
The mean of the original data is deleted if
*opt*[1]=-1. An intercept coefficient is estimated if*opt*[1]=1. If*opt*[1]=0, the original input data is processed assuming that the mean values of input series are zeroes. The default is*opt*[1]=0.

*opt*[2]- specifies the number of instants per period.
By default,
*opt*[2]=1.

*opt*[3]- specifies the minimum AIC option.
If
*opt*[3]=0, the*maximum lag*AR process is estimated. If*opt*[3]=1, the minimum AIC procedure is used. The default is*opt*[3]=1.

*missing*- specifies the missing value option.
By default, only the first contiguous observations
with no missing values are used (
*missing*=0). The*missing*=1 option ignores observations with missing values. If you specify the*missing*=2 option, the missing values are replaced with the sample mean. *print*- specifies the print option.
By default, printed output is suppressed (
*print*=0). The*print*=1 option prints the periodic AR estimates and intermediate process.

The TSPEARS subroutine returns the following values:

*arcoef*- refers to a periodic AR coefficient
matrix of the periodic AR model.
If
*opt*[1]=1, the first column of the*arcoef*matrix is an intercept estimate vector. *ev*- refers to the error variance.
*nar*- refers to the selected AR order vector of the periodic AR model.
*aic*- refers to the minimum AIC values of the periodic AR model.

The TSPEARS subroutine analyzes the periodic
AR model by using the minimum AIC procedure.
The data of length *T* are divided into *d* periods.
There are *J* instants in one period.
See the "Multivariate Time Series Analysis" section for details.

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