Same post on Stack Overflow (again): http://stackoverflow.com/q/11567745/271616 -- Joshua Ulrich | FOSS Trading: www.fosstrading.com
On Thu, Jul 19, 2012 at 11:15 AM, cursethiscure <caolan.harv...@mail.dcu.ie> wrote: > I think the code is part of the RTAQ package but is not included in it, as I > obtained it from > https://r-forge.r-project.org/scm/viewvc.php/pkg/RTAQ/R/HAR_model.R?view=markup&root=blotter&sortby=author&pathrev=1028. > > It is not my code and I make no claim to other's good work, and apologize if > I should even be posting it I am not sure, but in the transform function it > allows to change the model to `log` or `sqrt`, but when then model is > changed to log and the model used is either "HARRVJ" or "HARRVCJ" it will > return the following error: > > x = harModel(dat, periods = c(1,5,22), periodsJ=c(1), RVest = > c("RCov","RBPCov"), > + type="HARRVJ", h=22, transform="log") ; # Estimate .... > [TRUNCATED] > Error in lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) : > NA/NaN/Inf in foreign function call (arg 1) > > which is due to it taking the log(0), the actual model should take log(J + > 1) in case of a 0 value for the J in the time series, but unfortunately I do > not know how to rectify this. I was wondering if any one could tell me how > how I can achieve this as I am very naive with R still. > > <snip> > > I have tried changing > > if( type == "HARRVJ" ){ > J = J[(maxp:(n-h)),]; > *x = cbind(x1,J); * # bind jumps to RV data > if(!is.null(transform)){ y = Ftransform(y); x = Ftransform(x); } > x = cbind(x,rmin); > model = estimhar(y=y,x=x); > model$transform = transform; model$h = h; model$type = "HARRVJ"; > model$dates = alldates[(maxp+h):n]; > class(model) = c("harModel","lm"); > return( model ) > }#End HAR-RV-J if cond > > to > > if( type == "HARRVJ" ){ > J = J[(maxp:(n-h)),]; > * x = cbind(x1,J+1);* # bind jumps to RV data > if(!is.null(transform)){ y = Ftransform(y); x = Ftransform(x); } > x = cbind(x,rmin); > model = estimhar(y=y,x=x); > model$transform = transform; model$h = h; model$type = "HARRVJ"; > model$dates = alldates[(maxp+h):n]; > class(model) = c("harModel","lm"); > return( model ) > }#End HAR-RV-J if cond > > # and this > > if( type == "HARRVCJ" ){ > # Are the jumps significant? if not set to zero: > if( jumptest=="ABDJumptest" ){ > TQ = apply.daily(data, TQfun); > J = J[,1]; > teststats = ABDJumptest(RV=RM1,BPV=RM2,TQ=TQ ); > }else{ jtest = match.fun(jumptest); teststats = jtest(data,...) } > Jindicators = teststats > qnorm(1-alpha); > * J[!Jindicators] = 0;* > > # to > > if( type == "HARRVCJ" ){ > # Are the jumps significant? if not set to zero: > if( jumptest=="ABDJumptest" ){ > TQ = apply.daily(data, TQfun); > J = J[,1]; > teststats = ABDJumptest(RV=RM1,BPV=RM2,TQ=TQ ); > }else{ jtest = match.fun(jumptest); teststats = jtest(data,...) } > Jindicators = teststats > qnorm(1-alpha); > *J[!Jindicators] = 1;* > > but it returns to large of scores when the regressions are run. Note I would > change it back to how it is for `transform=NULL` and `transform="sqrt" as > they compute fine for this. > > I don't think the log tests can work without the change though. > > > -- > View this message in context: > http://r.789695.n4.nabble.com/Change-log-J-to-log-J-1-to-stop-log-0-from-occurring-in-harModel-tp4637072.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > 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. ______________________________________________ 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.
