Hi there, Thanks for your previous help on R. Do you know how to estimate an IGARCH (integrated GARCH) model in R? I need it when I estimate the Value at Risk following RiskMetrics methodology.
regards, Keli -----Original Message----- From: Gustaf Rydevik [mailto:gustaf.ryde...@gmail.com] Sent: Tue 6/24/2008 4:49 AM To: Xu, Ke-Li Cc: r-h...@stat.math.ethz.ch Subject: Re: [R] R help dear Xu, does: >library(urca) >example(ur.ers) >ers.gnp >str(ers.gnp) >ers....@teststat ,do what you want? (this reminds me that I have to learn S4 sometime) best, Gustaf Rydevik On Tue, Jun 24, 2008 at 3:52 AM, Xu, Ke-Li <keli...@ualberta.ca> wrote: > Dear Sir/Madam, > > I found your email address and your correspondence with R-users. I hope > you could help me with this question about the function "ur.ers" in the > package of "urca". It is an improved unit root test (Elliott et al. 1996 > Econometrica). Do you know how to extract the value of the test > statistic from the output? The only thing I can get is the print-out of > all results including the test statistic. But I am wondering whether the > value is saved somewhere, like g$coef will give you the estimated > coefficient, where g is a linear model lm object. > > Thank you very much. > > Best regards, > Keli Xu > > > [[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. > -- Gustaf Rydevik, M.Sci. tel: +46(0)703 051 451 address:Essingetorget 40,112 66 Stockholm, SE skype:gustaf_rydevik [[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.
