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IPS61 Rituparna S. et al.
The initial fitting of functional data to obtain mean, covariance and
principal components is done by employing the PACE package for functional
data analysis written in Matlab. We use the Gaussian kernel. The package is
available at
http://www.stat.ucdavis.edu/PACE/

VAR model fitting and diagnostics is done using the econometrics toolbox
in Matlab.
VARMA and related state space model computations are done using the
Dynamic Systems Estimation (dse) package in R available at
http://cran.r-project.org/web/packages/dse/index.html.

It should be noted that in all the actual data applications, the models chosen
by AIC criterion had the MA degree zero.
Using multivariate Granger causality toolbox in matlab, we test for
Granger causality between yield curves of USA and India. The package also
does the using trace instead of determinant. We find that there is no
causality in either direction.

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The Annals of Statistics 38, 18451884.

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