Good catch, Peter; Cylance might be the culprit - at least I encountered
problems by compiling C++ sources and/or building packages with interfaced
routines and here a memory checker kicked in.
Maybe something akin is happening by launching Rcmdr (tcl/tk)?
-Ursprüngliche Nachricht-
Von:
> http://www.math.umaine.edu/~hiebeler/comp/matlabR.pdf
You might also look up the book published by the same author, see
http://www.math.umaine.edu/~hiebeler/comp/matlabR.html
--
Bernhard
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE
>It is a distribution independent package format, where the applications run
>in a kind of sandbox. Flatpak is supported by RedHat/Fedora/CentOS/Scientific
>Linux as well as Debian/Ubuntu, and Arch. >
See also: https://flatpak.org/getting.html
-
me recall the apparent
advantages of flatpak:
It is a distribution independent package format, where the applications run
in a kind of sandbox. Flatpak is supported by RedHat/Fedora/CentOS/Scientific
Linux as well as Debian/Ubuntu, and Arch. So it might be worth a deeper look.
Regards
.
regards
--
Bernhard Treutwein
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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
type.
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: Berend Hasselman [mailto:b...@xs4all.nl]
Gesendet: Donnerstag, 13. Juli 2017 10:53
An: OseiBonsu, Frances
Cc: Pfaff, Bernhard Dr.; r-help@r-project.org
Betreff: [EXT] Re: [R] Question on Simultaneous Equations & Forecasting
Frances
rget about 2SLS or 3SLS and Haavelmo-bias.
Best wishes,
Bernhard
-Ursprüngliche Nachricht-
Von: R-help [mailto:r-help-boun...@r-project.org] Im Auftrag von OseiBonsu,
Frances
Gesendet: Mittwoch, 12. Juli 2017 22:36
An: r-help@r-project.org
Betreff: [EXT] [R] Question on Simultaneous
.
You can also provide a 'constraint' matrix for entering zero-constraints.
HTH,
Bernhard
-Ursprüngliche Nachricht-
Von: R-help [mailto:r-help-boun...@r-project.org] Im Auftrag von Castro, Andrew
William Keahi
Gesendet: Donnerstag, 23. Februar 2017 15:42
An: r-help@R-project.org
Betr
Dear T.Riedle,
it is a 'combined' test, see ?causality for a formal description of the test
statistic.
If you would like results on an 'equation' by equation' approach, you could
employ anova() on restricted and unrestricted lm-objects.
Best wishes,
Bernhard
---
7; and
'p.value' in the returned list object 'Granger' which is of informal class
'htest'.
Best wishes,
Bernhard
-Ursprüngliche Nachricht-
Von: R-help [mailto:r-help-boun...@r-project.org] Im Auftrag von T.Riedle
Gesendet: Sonntag, 22. Januar 2017 14:11
A
RTFM: help("ca.jo-class")
library(urca)
example(ca.jo)
class(sjf.vecm)
slotNames(sjf.vecm)
slot(sjf.vecm, "cval")
slot(sjf.vecm, "teststat")
slot(sjf.vecm, "V")
slot(sjf.vecm, "Vorg")
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: R-hel
Watch out for the pre-sample values (K = 2); hence you have supplied a dumvar
consisting of zeros only, in your first example.
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: R-help [mailto:r-help-boun...@r-project.org] Im Auftrag von mrrox
Gesendet: Donnerstag, 9. Juli 2015 15:51
An: r
Dear David,
str_split_fixed calls str_locate_all, which gives
str_locate_all("ab", "")
## [[1]]
## start end
## [1,] 1 0
## [2,] 2 1
##
in your example, since "" is a character of length 1. substring() is
probably more intuitive to get your expected result:
substring("ab", 1:2
Hello Diogo,
the package is hosted on Omegahat:
http://www.omegahat.org/XMLRPC/
Best wishes,
Bernhard
-Ursprüngliche Nachricht-
Von: R-help [mailto:r-help-boun...@r-project.org] Im Auftrag von Diogo André
Alagador
Gesendet: Freitag, 19. Dezember 2014 14:03
An: r-help@r
library(vars)
data(Canada)
mod <- VAR(Canada, p = 2, type = "both")
apply(resid(mod), 2, sd)
See also, ?summary and in particular the returned list element 'covres'.
HTH,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org [mailto:r-help-bo
Hello Rebecca,
Set up your your model as a bivariate VECM (use ca.jo() and create a matrix of
your x and y variables) and invoke alrtest() on the returned object as already
mentioned by you. See the example section of alrtest for how accomplishing this.
Best,
Bernhard
Dr. Bernhard Pfaff
thanks for pointing this out. The attributes 'df' and 'nobs' have
been added to logLik.varest() on R-Forge (project 'AICTS II', revision
>= 90); soon to be released on CRAN (package version 1.5-1).
Best,
Bernhard
> >
> >
> > On Tue, May 21, 20
Dear LondonPhd,
assuming that you have assigned 'mod' to your VAR() call, you can run the
following:
lapply(coef(mod), function(x) x[sort(rownames(x)), ])
In general, the coef-method will retrieve the estimated coefficients and you
can then do the reordering to your liking.
Best
Hello Laura,
you convert your VEC model to its levl-VAR representation and employ the
diagnostic tests you mentioned. This can be accomplished with the
functions/methods contained in the package 'vars'. You might want to have a
look at the vignette of the latter package.
Best
lrtest = FALSE in your call
to SVAR(). See ?SVAR (Arguments and Details sections) and the package's
vignette.
To your second question, provide zero entries in the respective column of the
A-matrix except for the main-diagonal element.
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: r
?getMethod
getMethod("plot", c("ca.jo", "missing"))
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im
Auftrag von Keith Weintraub
Gesendet: Dienstag, 20. März 2012 16:36
An: r-help@r-project.org
Betreff: [R] Plot method for ca.jo
Folks,
Hello Keith,
see ?Acoef for retrieving the coefficients. Incidentally, in the package dse
simulation methods are made available.
Best,
Bernhard
Dr. Bernhard Pfaff
Director
Global Asset Allocation
Invesco Asset Management Deutschland GmbH
An der Welle 5
D-60322 Frankfurt am Main
Tel: +49 (0
Ackbar:
have a look at ur.ers directly. The coefficients can be recovered from the slot
'testreg', i.e.,
example(ur.ers)
slotNames(ers.gnp)
coef(ers.gnp@testreg)
RTFM: help("ur.ers") and help("ur.ers-class")
Best,
Bernhard
-Ursprüngliche Nachricht-
Von
ll re-release QRMlib on CRAN,
be patient until the binaries have been populated and use install.packages()
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im
Auftrag von DT54321
Gesendet: Mittwoch, 29. Februar 2012 14:17
An: r-h
As stated, you need to install the *deprecated* dependencies of QRMlib as shown
in its DESCRIPTION as well as the reverse dependent *deprecated* packages.
These can still be fetched from R-Forge (Rmetrics project). The package
'timeSeries' will become a dependency of the to be re-released QRMlib
rther
information whence QRMlib will be made available again on CRAN?
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im
Auftrag von Duncan Murdoch
Gesendet: Montag, 27. Februar 2012 21:16
An: R. Michael Weylandt
Cc: r-h
CRAN. Having said this, it might be worth
waiting before you are trying to get QRMlib running based on the above
mentioned, but remnoved from CRAN packages. Scott, do you have a tentative
schedule for the re-release of your package on CRAN in mind?
Best,
Bernhard
-Ursprüngliche Nach
longer
sample size has been used.
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im
Auftrag von jpm miao
Gesendet: Freitag, 3. Februar 2012 08:45
An: r-help@r-project.org
Betreff: [R] A question on Unit Root Test using
Hello,
I would like to use modFit and modCost from the package FME to find
the optimal initial time t0 of a process. For simplicity, the process
is either "off" (value 0) or "on" (value h). So I have a data vector
with some zeros followed by some h's, e.g.
> c(0,0,0,2,2,2,2,2,2,2)
[1] 0 0 0 2 2
the following in the intermediate time:
1) Grab an old release of QRMlib from the CRAN archive.
2) Obtain the packages fSeries and fCalendar from R-Forge
3) Install 2) and 1) in that order.
Best,
Bernhard
ps: The package maintainer of QRMlib is aware of the problem and hopefully, the
package QRMli
freedom
Multiple R-squared: 0.413, Adjusted R-squared: 0.3859
F-statistic:NA on NA and NA DF, p-value: NA
Though, I am not the package maintainer who could provide you with more
insights, but the source code itself.
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...
Hello Dan,
I reckon that you need to path a batch-file to the scheduler, i.e. something
along the lines
R CMD BATCH script.R
shall be included in, say, 'RBatchjob.bat' and this file shall then be called
by the task scheduler.
Best,
Bernhard
> -Ursprüngliche Nachricht-
>
>
>
> - Original Message
> From: "Pfaff, Bernhard Dr."
> To: Peter Maclean ; Dr. Bernhard Pfaff
>
> Cc: "r-help@r-project.org"
> Sent: Wed, July 6, 2011 8:17:12 AM
> Subject: AW: [R] BY GROUP in evir R package
>
> Hello Pet
Hello Peter,
str(rg2)
us quite revealing for this; by() returns a list and hence lapply() can be
employed, e.g.:
lapply(rg2, rlevel.gev, k.blocks = 5)
By the same token, you can extract the relevant bits and pieces and put them
together in a data.frame.
Best,
Bernhard
> -Ursprüngli
?restrict
> -Ursprüngliche Nachricht-
> Von: r-help-boun...@r-project.org
> [mailto:r-help-boun...@r-project.org] Im Auftrag von gizmo
> Gesendet: Mittwoch, 22. Juni 2011 18:26
> An: r-help@r-project.org
> Betreff: [R] VAR with excluded lags
>
> Hi,
>
> I would like to fit a Vector Aut
Hello Lee,
in addition to David's answer, see: ?MacKinnonPValues in package 'urca' (CRAN
and R-Forge).
Best,
Bernhard
> -Ursprüngliche Nachricht-
> Von: r-help-boun...@r-project.org
> [mailto:r-help-boun...@r-project.org] Im Auftrag von David Winsemius
>
Hello Meilan:
'ect' is shorthand for error-correction-term, 'sd' signify seasonal dummy
variables and 'LRM.dl1' is the lagged first difference of the variable 'LRM'
(the log of real money demand).
HTH,
Bernhard
> -Ursprüngliche Nachric
trix(NA, ncol = 1, nrow = length(tl))
for(i in 1:length(tl)){
res[i, ] <- tl[[i]]$Granger$p.value
}
res
hth,
Bernhard
> -Ursprüngliche Nachricht-
> Von: ivan [mailto:i.pet...@gmail.com]
> Gesendet: Freitag, 15. April 2011 10:46
> An: Pfaff, Bernhard Dr.
> Cc: r-h
count?
Best,
Bernhard
ps: the function seems to have been ported from the package 'vars'. In this
package the function causality() is included which returns a named list with
elements of class htest.
> -Ursprüngliche Nachricht-
> Von: r-help-boun...@r-project.org
>
The below email was cross-posted to R-Sig-Finance and has been answered there.
> -Ursprüngliche Nachricht-
> Von: r-help-boun...@r-project.org
> [mailto:r-help-boun...@r-project.org] Im Auftrag von ivan
> Gesendet: Montag, 4. April 2011 20:24
> An: r-help@r-project.org
> Betreff: [R] Gr
Dear Renoir,
are you referring to:
http://econ.la.psu.edu/~hbierens/TVCOINT.PDF
?
If so, no, but you could up this framework fairly easily and hereby employ the
functions of urca. But this should already be evident from the package's
manual.
Best,
Bernhard
> -Urspr
Well, without further information, I do not know, but try the following
library(urca)
example(ca.jo)
trend <- matrix(1:nrow(sjf), ncol = 1)
colnames(trend) <- "trd"
ca.jo(sjf, type = "trace", ecdet = "const", K = 2, spec = "lo
Hello Bernhard,
thank You so much one again! Now I (more or less) understand the idea,
but still have problem with its practical application.
I do (somewhat following example 8.1 in your textbook):
library
that this implies a quadratic trend for the levels.
Best,
Bernhard
Von: Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl]
Gesendet: Mittwoch, 30. März 2011 20:50
An: Pfaff, Bernhard Dr.; r-help@r-project.org
Betreff: Re: [R] VECM wit
Hello Greg,
you can exploit the argument 'dumvar' for this. See ?ca.jo
Best,
Bernhard
> -Ursprüngliche Nachricht-
> Von: r-help-boun...@r-project.org
> [mailto:r-help-boun...@r-project.org] Im Auftrag von Grzegorz Konat
> Gesendet: Mittwoch, 30. März 201
ent-t, GED or skewed Student-t errors.
Furthermore, do you have Ox installed on your PC?
http://www.doornik.com/products.html
Best,
Bernhard
> -Ursprüngliche Nachricht-
> Von: r-help-boun...@r-project.org
> [mailto:r-help-boun...@r-project.org] Im Auftrag von Ni
Dear Hazzard I. Petzev,
you might find causality() in the package vars useful.
Best,
Bernhard
> -Ursprüngliche Nachricht-
> Von: r-help-boun...@r-project.org
> [mailto:r-help-boun...@r-project.org] Im Auftrag von hazzard
> Gesendet: Donnerstag, 3. März 2011 10:07
&g
ly, bread() and estfun()) for
"varest" objects. This is a clean and non-invasive solution and not very
difficult to implement given that all this is OLS.
<>
and further down in this reply, Achim is referring you to the package's
vignette:
<>
vignette("sandwich-OOP&qu
Hello Marta,
have you read ?coeftest and ? VAR carefully enough? The function does expect a
lm/glm object for x as argument. Hence, the following does work:
library(vars)
data(Canada)
myvar <- VAR(Canada, p = 2, type = "const")
lapply(myvar$varresult, coeftest)
B
Dear Fir,
for instance, have a look at the package 'ismev' and the function mrl.plot().
The CRAN task view 'Finance' lists many more packages that address EVT under
the topic 'Risk management'.
Best,
Bernhard
> -Ursprüngliche Nachricht-
> Von: r-hel
ted only and hence the same method for diff() is used as in the case of
numeric/ts objects.
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im
Auftrag von Cuckovic Paik
Gesendet: Freitag, 29. Oktober 2010 05:48
An: r-help@r-p
are already shipped in the primary
library of your R installation.
This all is just a guess, because you have not provided enough information to
diagnose further.
Best,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.o
01-01 23.1 23.1
2001-01-01 NA 23.4
Is there a slick way to produce above result? Thank you for your answer - help
is really appreciated.
Kind regards,
Bernhard.
<--->
# R Console example:
req
:
mtext(TheTextVariable, side=1, outer=TRUE, adj=0.5, line=0.5, col=TheColor)
R Version 2.11.1 (2010-05-31), OSX 10.6.4
Can someone give me a hint what could cause this unexpected behaviour?
Thanks a lot,
kind regards,
Bernhard Pollner
__
R-help@r
Dear Ron,
have you had a look at the package dse? Here, ARMA models can be
specified and simulated. The only exercise left for you, is to transform
the VECM coefficients into their level-VAR values.
Best,
Bernhard
|> -Original Message-
|> From: r-help-boun...@r-proje
system(). This last option is probably more appropriate for
larger macroeconomic models. For more information see:
http://fairmodel.econ.yale.edu/fp/fp.htm
Best,
Bernhard
|> -Original Message-
|> From: r-help-boun...@r-project.org
|> [mailto:r-help-
on, but you could rather use lm() and/or dynlm().
The forcasts should then be computed recursively.
Best,
Bernhard
|> -Original Message-
|> From: r-help-boun...@r-project.org
|> [mailto:r-help-boun...@r-project.org] On Behalf Of
|> pe...@linelink.nl
|> Sent: Sund
ample(causality). A Granger-causality test is a F-test.
You need to estimate a VAR first, i.e., provide the complete data set
(cbind(A, b)) in VAR() and then provide the causing variable(s) in
causality.
Best,
Bernhard
>do I get x to
>"contain" A and B. Further using the command VA
>
>On 11/11/2009 12:09 PM, Pfaff, Bernhard Dr. wrote:
>> Dear list subscriber,
>>
>> suppose, I do have a minimal Sweave file 'test.Rnw':
>> \documentclass{article}
>> \begin{document}
>> <>=
>> x
>> @
>> \end{document}
ind of a dum question, but how could it be achieved that Sweave recognizes the
objects within this function call?
Any pointers are most welcome,
Bernhard
> sessionInfo()
R version 2.10.0 (2009-10-26)
i386-pc-mingw32
locale:
[1] LC_COLLATE=German_Germany.1252 LC_CTYPE=German_Germany.1
stabil$stability)
and then, for a particular equation (e.g. unemployment)
str(var.2c.stabil$stability$U)
the data for the process is contained in the list element "process".
HTH,
Bernhard
>
>It means if I have source code:
>data(Canada)
>x=acf(Can
-Forge first and then on CRAN). In
the meantime, you can use the summary method for lm objects and lapply these:
lapply(foo$varresult, summary)
in order to obtain summary results for the individual equations.
Best,
Bernhard
>-Ursprüngliche Nachricht-
>Von: herrdittm...@yahoo
Dear Bernd,
which version of the package vars are you using? Have tried estimating
estimating the VAR first and only? Within the function VAR() the equations are
estimated by lm(). Would you be so kind and send the result of traceback()?
Best,
Bernhard
>-Ursprüngliche Nachri
ct entry 'PKG::FOO TITLE'.
>
At least ur.df() in urca and IIRC CADFtest() in CADFtest provide arguments for
lag selection.
HTH,
Bernhard
>-Ursprüngliche Nachricht-
>Von: r-help-boun...@r-project.org
>[mailto:r-help-boun...@r-project.org] Im Auftrag von
you end up
with one lag of the endoegnous variables in your VECM. In case you do
want to specify a VECM without any lagged endogenous variables, you have
to calculate the reduced rank regressions by hand and derive the
relevant tests from there. You can partly employ the code in ca.jo() in
order to do
Dear Jake,
have you had a look at the function 'ud.df()' contained in the package urca?
You will find:
> library(urca)
> args(ur.df)
function (y, type = c("none", "drift", "trend"), lags = 1, selectlags =
c("Fixed",
"AIC",
Dear Roslina,
question: have you used 'library(copula)' somewhere before the call to
'normalCopula'?
Bernhard
>-Ursprüngliche Nachricht-
>Von: r-help-boun...@r-project.org
>[mailto:r-help-boun...@r-project.org] Im Auftrag von Roslina Zakaria
>Gesendet
/multgarchuni.pdf
HTH,
Bernhard
>
>Good day everyone,
>
>I tried to find a multivariate GARCH package and failed to
>find one. Although when I searched R I found the following
>link which describes the package:
>
>http://www.r-project.org/user-2006/Slides/Schmidbauer+Tunalioglu.pdf
h()
new_surv1 <- survfit(coxsst4, newdata=newS4)
new_surv2 <- survfit(coxsst4_full, newdata=newS4)
Yields two different curves. What did I get wrong?
Regards
Bernhard
Terry Therneau wrote:
plot(survfit(fit)) should plot the survival-function for x=0 or
equivalently beta'=0. T
the training-period
very good but other periods very poor. So I first tried to reproduce the
training-period. But so far with no success - as well with using 11
covariates or just 1.
Regards
Bernhard R.
Terry Therneau wrote:
You are mostly correct.
Because of the censoring issue, there is no
analyis. I do not know and
have not checked if somebody has already done so.
I use this information/tools aside of others during longer-dated off-shore
sailing.
Best,
Bernhard
[1] http://www.grib.us/
[2] http://www.iges.org/grads/
>-Ursprüngliche Nachricht-
>Von: r-help-bou
3846097
which is quite similar but not the same.
Can anyone shed some light on this? I guess there must be tons of
literature on this topic but I find it quite hard to find the good one.
I´d also appreciate literature on how to choose the appropriate number
of covariates for a coxmodel and overfitti
rx=(mean(rx)),ecog.ps=mean(ecog.ps))
detach()
plot(survfit(fit), newdata=ovarian_new)
This should give you the survival-function for an average patient with
residual-status 2.
Regards
Bernhard
__
R-help@r-project.org mailing list
https://stat.et
exactly the predicted survival-time.
I think I have to use the mean survival-time of the baseline-function
times exp(the result of type linear predictor).
Am I right?
Regards
Bernhard
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman
696 1.637
Can you tell me how I can calculate a survival- or baseline-function out
of these values and how I extract the values from the object? I´m sure
the calculation is done by the corresponding plot-routine, but I
couldn´t find that one either.
Regards
;)
Sys.setenv(R_SHELL = "cmd.exe")
Sys.getenv("R_SHELL")
## options(xdvicmd='dviout') set appropriately I use TeXLive and have not yap
installed;
## working with MikTeX there should be no need to change the default viewer
dvi.latex2(latex.obj)
## It might be the case that
, Estimation and Hypothesis Testing of
Cointegration Vectors in Gaussian Vector Autoregressive Models,
_Econometrica_, *Vol. 59, No. 6*, 1551-1580.
Best,
Bernhard
>
>
>
>Thank you very much in advance. Best wishes.
>
>
>
>Christina
>
>
>
>
> [[alt
Hello Kamlesh,
have a look at: fUnitRoots, tseries, urca, uroot
Best,
Bernhard
>
>Dear sir,
>
> I am a new user of R statistical package. I want to perform
>adf.test(augmented dickey fuller test), which packages I need
>to install in
>order to perform it. I am getting fo
Hello Bernd,
by definition, a VAR does only include **lagged endogenous** variables.
You might want consider SVAR() contained in the same package, or fit a
VECM (see CRAN package 'urca').
Best,
Bernhard
>Hi useRs,
>
>Been estimating a VAR with two variables, using VAR() of
Hello Alexander,
for (3) see the CRAN-package "vars".
Best,
Bernhard
>
>Dear R Community,
>
>I am currently student at the Vienna University of Technology
>writing my
>Diploma thesis on causality in time series and doing some analyses of
>time series in R.
d vars packages for their next
releases.
Best,
Bernhard
>
>Hi,
>
>I was wondering why the results from lm and dynlm are not the
>same for what I think is the same model.
>I have just modified example 4.2 from the Pfaff book, please
>see below for the code and results.
>
menu structure into the file "Rcmdr-menus.txt"
Best,
Bernhard
>
>Dear Irina,
>
>
>On Wed, Aug 20, 2008 at 12:02 PM, Irina Ursachi
><[EMAIL PROTECTED]> wrote:
>> Dear all,
>>
>> I am trying to write a plugin for the RCommander and having troub
hello Sam,
just rescale the result. Please note that *unit change* refers to the error
term. By the same token you can also rescale the impulse responses by making
use of the standard deviation of the residuals.
Best,
Bernhard
>
>Hi Everyone
>
> > var.2c <- VAR(Cana
. You could then cast the
FRB-model in the FP-scripting language and access/run this file from R. At
least this worked for me.
Not very pleasing, but an option would be to port the FORTRAN code to an R
package.
Hope this is a first helpful pointer for you.
Best,
Bernhard
>-Ursprüngli
Hi Daren.
you could try something like:
strings[setdiff(1:length(strings), grep("ba", strings))]
?grep as well as ?regexpr will help as well!
Bernhard
2008/6/19 Daren Tan <[EMAIL PROTECTED]>:
>
>
> For example,
>
> strings <- c("", "&qu
f the data.frame when
plotted using textplot() is at the same height than the corresponding
row in the dotplot? I guess that this is quite tricky and any hint on
which package or functions I could use would be very helpful.
Thank you very much.
Bernhard
__
Hello Erin,
have you considered the package bundle "dse" on CRAN?
Best,
Bernhard
>
>Dear R People:
>
>I was looking to see if there are any functions for Vector
>ARMA modeling.
>
>I found Vector AR(p) but no Vector ARMAs.
>
>Thanks,
>Erin
>
?
If so, this can be swiftly accomplished by:
[EMAIL PROTECTED] <- [EMAIL PROTECTED], -1]
cajools(sjf.reg)
i.e., you drop the constant from the slot Z1 (have a look at cajools to
see how the regression are set up). You might want con
element. If so, a
more appropriate function name would be archtest().
What do you think?
Best,
Bernhard
Dr. Bernhard Pfaff
International Structured Products Group
Director
Invesco Asset Management Deutschland GmbH
Bleichstrasse 60-62
D-60313 Frankfurt am Main
Tel: +49(0)69 29807 230
Fax: +49(0
METHOD <- "ARCH LM-test"
result <- list(statistic = STATISTIC, parameter = PARAMETER,
p.value = PVAL, method = METHOD, data.name =
deparse(substitute(x)))
class(result) <- "htest"
return(result)
}
should work and yield equal results as mentioned earlier in
Hello Stephen,
stationarity tests as well as unit root tests have been implemented in a
couple of packages. For instance, as already mentioned: tseries, but
also uroot, fUnitRoots and urca. See the annotated task view
"Econemtrics" and "Finance" for further informat
ello Michael,
you can use the function dynlm() contained in the CRAN-package with the
same name, or you can use the function VAR() contained in the package
vars. Here, you would only need the lm-object belonging to X_T as
lhs-variable.
Best,
Bernhard
>This e-mail message including any attachme
Hello Neil,
you will find decent and well-written papers on:
http://www.math.ethz.ch/~embrecht/
http://www.ma.hw.ac.uk/~mcneil/
http://www.math.uni-leipzig.de/~tschmidt/#publications
Best,
Bernhard
ps: Incidentally, the monograph http://press.princeton.edu/titles/8056.html
contains nice
one can use the log-transform of x for variance stabilisation
and specify an ARMA(1, 0, 1)-model:
xl <- log(x)
m <- arima(xl, order=c(1, 0, 1))
m
Best,
Bernhard
>2. This question is more theoretical
>
> m<-sample(c(10:20),10,replace=T)
> f<-sample(c(10:20),10,replace=T
d too). The advantage of this approach compared to a pure
VAR-modeling (in levels or first differences, depending on the
stationarity of your series in question) is, that you might capture the
long-run relationship between your price series (arbitrage-condition?).
Best,
Bernhard
>
>You may wan
>3,000 strocks are processed. We have not encountered any problems so far.
>Basically, the maximal data handling size is determined by your computer's
>memory and the style of your coding.
Best,
Bernhard
>
>Dear helpeRs,
>
>a colleague of mine would like to give R a try.
/bootstrap-j-tests-of.pdf
Best,
Bernhard
>
>I estimate two competing simple regression models, A and B
>where the LHS
>is the same in both cases but the predictor is different (
>I handle the intercept issue based on other postings I have seen ). I
>estimate the two models on a
rest in. Please note,
that the VAR is estimated by OLS. You might want to consider estimating
the VAR by FGLS if you have restrictions in your VAR.
Best,
Bernhard
ps: The more you are "approaching" structural multiple equation model,
you can also use the CRAN-package systemfit
>I a
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