The adfresd function that you have, prints the outcome of the test rather than `return' ing a value. If you would modify that function to return a value (True or false/ or p-value) you should automatically get vector that you desire. Then is a simple task of naming the resultant vector with.
apply(b,2, paste, collapse="_") On Thu, Aug 12, 2010 at 10:15 AM, Ferreira, Thiago Alves < thiago.alves.ferre...@citi.com> wrote: > Hello Nikhil, hope you are well today. > I am sorry to be a pain but I have one follow up question, I am trying to > express my results in a grid, which would look like a 6 by 6 matrix and > would have just Yes or NO in each grid.. > So what I am thinking is a way to store every result I get on " > apply(b,2,coint) " in an array or vector, and express them is this matrix. > So that I can just look at it and see whether assets swap2 and vol are > cointegrated.. > > Do you reckon you point me in the right direction as to how to do that? > > Thank you! > Thiago > > -----Original Message----- > From: Nikhil Kaza [mailto:nikhil.l...@gmail.com] > Sent: 11 August 2010 12:35 > To: Ferreira, Thiago Alves [ICG-MKTS] > Cc: 'r-help@R-project.org' > Subject: Re: [R] Help with permutation / loops > > How about this? > > untested since no data is provided. > > a <- paste("x",1:6,sep="") > b<- combn(a,2) > > > coint<-function (x) > > { > x1 <- get(x[1]) > x2 <- get(x[2]) > > adfdata(x1) > > adfdata(x2) > > > > engle<-lm(x1~x2) > > residual<-resid(engle) > > adfresd(residual, k=1) > > > > par(mfrow=c(2,1)) > > ts.plot(x1) > > ts.plot(x2) > > ts.plot(residual) } > > > apply(b,2,coint) > > > Careful with the plots, you may just overwrite them on default device. > One way to overcome it is to plot them to a pdf and name them appropriately > for each iteration. > > Nikhil Kaza > Asst. Professor, > City and Regional Planning > University of North Carolina > > nikhil.l...@gmail.com > > On Aug 11, 2010, at 6:34 AM, Ferreira, Thiago Alves wrote: > > > Hi everyone, > > I am writing a code for cointegration between n (n=6 initially) pairs. > > > > I have done the whole thing for 2 variables. There is a function > > coint(x1,x2) that takes 2 inputs x1 and x2 and does the following: > > > > coint<-function (x1,x2) > > { > > adfdata(x1) > > adfdata(x2) > > > > engle<-lm(x1~x2) > > residual<-resid(engle) > > adfresd(residual, k=1) > > > > par(mfrow=c(2,1)) > > ts.plot(x1) > > ts.plot(x2) > > ts.plot(residual) } > > > > Where X1,x2,..,x6 are time series of length 250 or more > > > > Where adfdata() is a function that calculates the adf test for x1 and > > x2. There are 6 variables in total (x1,x2,...,x6) and I want to > > calculate this function coint for the permutation of these variables. > > That is coint(x1,x2); coint(x1,x3); > > coint(x1,x4);...coint(x6,x5) (without repetition because x1,x1 are > > cointegrated already) > > > > I thought about creating an array with the combinations Xi,Xj and > > apply the function to each combination in the array but I could not > > get it to work... > > I would really appreciate if someone could help me on this! > > > > Thank you, > > Kind regards, > > Thiago > > > > ______________________________________________ > > R-help@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide > > http://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, reproducible code. > > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
