:D You are quite polite. Keep the change :) Richardson, Patrick wrote: > > would you like coffee with that? > > ________________________________________ > From: [EMAIL PROTECTED] [EMAIL PROTECTED] On > Behalf Of ensark [EMAIL PROTECTED] > Sent: Sunday, June 01, 2008 5:30 PM > To: r-help@r-project.org > Subject: [R] how to analyze time series structures? > > hı, I am preparing undergraduate thesis If you help me this would make me > feel good. > First I need to analyze effect of Dow Jones Industrial average(DJIA)'s > return on Istanbul Stock Exchange(ISE). I want to use Markov-Switching > Bayesian Vector Autoregression Models (MSBVAR) that is used to examine the > effect of a large economy’s stock exchange movement on a small economy’s > stock exchange movement. The foreign stock exchange index follows its own > dynamics (an AR process is used as a proxy). > Turkish stock exchange movements are affected by its own lag and movements > of the foreign stock exchange. Therefore, the foreign stock exchange can > be > thought to have an exogenous affect on the Turkish stock exchange. None of > the lag variables of the Turkish stock exchange determine foreign stock > exchange; however, lag values and spot values of the foreign stock > exchange > affect Turkish stock exchange movement. > To calculate the standard errors of the impulse response functions, I > should use the modified error bands of Bernanke, Hall, Leeper, Sims and > Zha > (1996) for the maximum likelihood estimation (MLE). > > Data structure(time series); > for ISE and DJIA > daily closing prices from 01.01.1989 to 01.01.2008 in excel format. > > Also I should provide following spec.; > *should fill the missing variables. > *the lag order of the identified VAR model is 5 as suggested by Bayesian > information criteria. > *All error bands for this paper should generated with 2000 Monto Carlo > draws. The corresponding impulse responses should reported in the > figures(use one-standard deviation shock in order to see impulses.). > > and I need these outputs; > *plot impluse-response figures and should define level of confidence bonds > in the figures for every sub-periods > *t values of responses from ISE to DJIA.(for 10 days) > > Finally, I am not good at R statistics(inexperienced) so I need > explanations > in detailed also need resources and ready-made codes. How I use MSBVAR > model > in R and Can you prepare me toDo list? thank you > > > -- > View this message in context: > http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17590508.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. > This email message, including any attachments, is for th...{{dropped:6}} > > ______________________________________________ > 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. > >
-- View this message in context: http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17592137.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.
