[R] VAR for Non Stationary series using R

Hi All, Is there any suggested approaches for using non-stationary series in VAR model? As per otexts.org , there is something like "VAR in differences which could be used for such series. Are there any other

Re: [R] VaR and ES through MonteCarlo method

Unfortunately for you, there is a no-homework policy on this list. Please read the Posting Guide. --- Jeff NewmillerThe . . Go Live... DCN:Basics: ##.#. ##.#. Live Go..

[R] R: VaR and ES in R

From my Android phone on T-Mobile. The first nationwide 4G network. Messaggio originale Da: ESMERALDA PODA Data:12/22/2014 02:44 PM (GMT+01:00) A: r-help@r-project.org Oggetto: VaR and ES in R Hi everybody, This is the homework I am trying to solve. Ex. Assume that y

[R] VaR and ES through MonteCarlo method

Hi everybody, This is the homework I am trying to solve. Ex. Assume that you have a position of 144530 shares of Bill inc.. The object Y2 contains an iid sample of the returns for these shares. Assume that data follow a Student distribution. 1. Compute the maximum likelihood estimate for

Re: [R] VAR function in vars package: find the standard deviation of the error

un...@r-project.org] Im Auftrag von jpm miao Gesendet: Freitag, 2. August 2013 11:11 An: r-help Betreff: [R] VAR function in vars package: find the standard deviation of the error Hi, Does someone know how to find the standard deviation of the error term in the VAR object? The whole structure

[R] VAR simulation help

Hi Everyone, I am a new comer to R circle. I am trying to simulate a VAR estimation. The problem is given above in the image. Assume that the errors are iid and normally distributed. Here the number of observations x1=x2=64. I've writ

[R] var

ex.nc [1] "file cruncep_tair_2010.nc has 4 dimensions:" [1] "longitude Size: 720" [1] "latitude Size: 360" [1] "time Size: 1460" [1] "points_terre Size: 62482" [1] "" [1] "file cruncep_tair_2010.nc has 4 variables:" [1] "int mask[longitude,latitude] Longname:mask Mi

Re: [R] VAR with GARCH effect

On Mar 5, 2012, at 10:51 AM, mamush bukana wrote: Dear John, Thanks for your prompt response. But I can't get "rmgarch" package. http://www.rseek.org/?cx=010923144343702598753%3Aboaz1reyxd4&q=rmgarch&cof=FORID%3A11 Rather I got some package, "rugarch", in my search to "rmgarch". This pack

Re: [R] VAR with GARCH effect

Dear John, Thanks for your prompt response. But I can't get "rmgarch" package. Rather I got some package, "rugarch", in my search to "rmgarch". This package (rugarch), however, does not solve my problem. My question specifically is to estimate and simulate model like: x_t = A1*x_{t-1} + A2*x_{t-2

[R] VAR with GARCH effect

Dear list, Can one suggest me if there is an R function/package to estimate and simulate vector autoregressive (VAR) model allowing for the GARCH effect please? Thanks Mamush [[alternative HTML version deleted]] __ R-help@r-project.org mailing

Re: [R] VaR package, where is it?

On Fri, 16 Dec 2011, jfca283 wrote: Hi I need to perform some analysis about risk management portfolio. There is a reference to a VaR package, however, i can't find it. It was deprecated? Or it's inside now of another package? Thanks. Using the package=... syntax of the official CRAN package U

[R] VaR package, where is it?

Hi I need to perform some analysis about risk management portfolio. There is a reference to a VaR package, however, i can't find it. It was deprecated? Or it's inside now of another package? Thanks. -- View this message in context: http://r.789695.n4.nabble.com/VaR-package-where-is-it-tp4206869p

Re: [R] VAR and VECM in multivariate time series

Subject: [R] VAR and VECM in multivariate time series Hello to everyone! I am working on my final year project about multivariate time series. There are three variables in the multivariate time series model. I have a few questions: 1. I used acf and pacf plot and find my variables are

[R] VAR and VECM in multivariate time series

Hello to everyone! I am working on my final year project about multivariate time series. There are three variables in the multivariate time series model. I have a few questions: 1. I used acf and pacf plot and find my variables are nonstationary. But in adf.test() and pp.test(), the data are s

Re: [R] Var-Cov matrix from LMER function

Hi Cheryl, Here is an example of how to get the fixed and random effects covariance matrices. require(lme4) (fm1 <- lmer(Reaction ~ Days + (Days|Subject), sleepstudy)) ## fixed effects vcov(fm1) ## random effects VarCorr(fm1) ## for documentation, see method?vcov("mer") Hope this helps, Josh

[R] Var-Cov matrix from LMER function

Hello, Is there a way to get the Var-Cov matrix from the LMER function? Thanks [[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

Re: [R] VAR with excluded lags

?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, > >

[R] VAR with excluded lags

Hi, I would like to fit a Vector Auto Regression with lags that are not consecutive with the vars package (or other if there is one as good). Is it possible? For example, rather than having lags 1, 2, 3, 4, 5 have 1, 2, 5. Thanks. -- View this message in context: http://r.789695.n4.nabble.com

Re: [R] VAR with HAC

> Gesendet: Mittwoch, 16. Februar 2011 16:50 > An: r-help@r-project.org > Betreff: [R] VAR with HAC > > > Hello, > I would like to estimate a VAR model with HAC corrected > standard errors. I tried to do this by using the sandwich > package, for example: > > &

Re: [R] VAR with HAC

ot;, package = "sandwich") <> Best, Bernhard Von: Marta Lachowska [mailto:ma...@upjohn.org] Gesendet: Donnerstag, 17. Februar 2011 17:01 An: Pfaff, Bernhard Dr.; r-help@r-project.org Betreff: Re: AW: [R] VA

Re: [R] VAR with HAC

est, Bernhard > -Ursprüngliche Nachricht- > Von: r-help-boun...@r-project.org > [mailto:r-help-boun...@r-project.org] Im Auftrag von Marta Lachowska > Gesendet: Mittwoch, 16. Februar 2011 16:50 > An: r-help@r-project.org > Betreff: [R] VAR with HAC > > > Hello, > I

[R] VAR with HAC

Hello, I would like to estimate a VAR model with HAC corrected standard errors. I tried to do this by using the sandwich package, for example: > library(vars) > data(Canada) > myvar = VAR(Canada, p = 2, type = "const") > coeftest(myvar, vcov = vcovHAC) Error in umat - res : non-conformable ar

[R] VaR using monte carlo simulation

Sir, I want to calculate VaR (Value at Risk) using Monte Carlo Simulation in R.Is there any function in R to calculate Var ?. Can you give me an eaxmple. Thanks & Regards, Suman Dhara [[alternative HTML version deleted]] __ R-help@r-project.or

Re: [R] VAR with contemporaneous effects

boun...@r-project.org] On Behalf Of Downey, Patrick |> Sent: Friday, March 12, 2010 12:53 AM |> To: r-help@r-project.org |> Subject: [R] VAR with contemporaneous effects |> |> Hi, |> |> I would like to estimate a VAR of the form: |> |> Ay_t

[R] VAR with contemporaneous effects

Hi, I would like to estimate a VAR of the form: Ay_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t Where A is a non-diagonal matrix of coefficients, B and C are matricies of coefficients and D is a matrix of coefficients for the exogenous variables. I don't think the package {vars} can do this because I

[R] VAR forecasts and out-of-sample prediction

Dear users, I am struggling with this issue. I want to estimate a VAR(1) for three variables, say beta1 beta2 beta3, using monthly observations from January 1984 to September 2009. In-sample period January 1984 to December 2003, out-of-sample January 2004 to September 2009. This is what I have don

[R] VAR analysis

[[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-con

Re: [R] VAR (pckg: vars) and memory problem

On Sat, 15 Aug 2009 13:46:56 + herrdittm...@yahoo.co.uk wrote: HCU> I ran into memory troubles: HCU> HCU> > summary(VAR(trial.var, type="none", p=5)) HCU> Error: cannot allocate vector of size 3.1 Gb no wonder. HCU> Is there any way I can extend the memory used by R? Perhaps HCU> forcing

Re: [R] VAR (pckg: vars) and memory problem

Bernd -- -Original Message- From: "Pfaff, Bernhard Dr." Date: Mon, 17 Aug 2009 09:03:03 To: ; Subject: AW: [R] VAR (pckg: vars) and memory problem Dear Bernd, which version of the package vars are you using? Have tried estimating estimating the VAR first and o

Re: [R] VAR (pckg: vars) and memory problem

.co.uk [mailto:herrdittm...@yahoo.co.uk] >Gesendet: Montag, 17. August 2009 18:27 >An: Pfaff, Bernhard Dr.; r-help@r-project.org >Betreff: Re: AW: [R] VAR (pckg: vars) and memory problem > >Dear Bernard,  > > >Please find attached the output of traceback() below for this >rather

Re: [R] VAR (pckg: vars) and memory problem

cht- >Von: r-help-boun...@r-project.org >[mailto:r-help-boun...@r-project.org] Im Auftrag von >herrdittm...@yahoo.co.uk >Gesendet: Samstag, 15. August 2009 15:47 >An: r-help@r-project.org >Betreff: [R] VAR (pckg: vars) and memory problem > >Hi all, > >When I tried to e

[R] VAR (pckg: vars) and memory problem

Hi all, When I tried to estimate a VAR (package vars) of a rather large dataset with 5 lags: > dim(trial.var) [1] 20388 2 I ran into memory troubles: > summary(VAR(trial.var, type="none", p=5)) Error: cannot allocate vector of size 3.1 Gb In addition: Warning messages: 1: In diag(r

[R] VAR with binary endogenous variables

Hi all! Does anyone know if a vector autoregression package is avaialable that allows binary variables as part of the endogenous system? I'm looking for something along the lines of what is implemented in "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of US Recessions" by Michael D

Re: [R] VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation

On 1/8/09, Maithili Shiva wrote: > Is there any fucntion in R that will help me calculate Value at Risk (VaR) > using Monte carlo Simulation , Historic simulation and Variance - Covariance > Simulation. > There are some "un-published" Crystal Ball functions for R [1], which may help in running

Re: [R] VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation

Yes, there are: replicate and quantile are your friends. You will find better support in the R-Finance list, though. Best regards, Carlos J. Gil Bellosta http://www.datanalytics.com On Thu, 2009-01-08 at 01:36 -0800, Maithili Shiva wrote: > Dear R helpers > > Suppose I have a portfolio of sec

[R] VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation

Dear R helpers Suppose I have a portfolio of securities with exposure to Equity, Bonds and Forex (say $ 100 each). Is there any fucntion in R that will help me calculate Value at Risk (VaR) using Monte carlo Simulation , Historic simulation and Variance - Covariance Simulation. With reg

Re: [R] VAR question

I presume that your problem is in quantitative macroeconomics and that your sample size is limited. Are your variables stationary. If not you may need to use a VECM or if there is no cointegration work in first differences. My choice of variables would in the first instance be determined by eco

[R] VAR question

Hi all, I got another VAR question here and really appreciate if somebody would help me out :) I have five time series, say A,B,C,D,E. My objective is to predict the series A using the rest, that is, B, C, D and E. A Vector Autoregression Model should work here. But first of all, I should select

Re: [R] var function

See the 'variance' function in ifultools package. If you'd like the unbiased estimate of the variance, just use 'var' without the extra argument. Best, Erik Iverson Applejus wrote: Hello, I am trying to convert this splus line of code to R : var(outcome[1, ], un

[R] var function

Hello, I am trying to convert this splus line of code to R : var(outcome[1, ], unbiased = FALSE) It seems the var function in R doesn't have the "unbiased" argument. Could someone help me figure the correct equivalent line in R? Thank you -- View this message in

Re: [R] var/cov matrix for a quantile regression model

You need to say summary(rq(),cov=TRUE)$cov see ?summary.rq for further details. url:www.econ.uiuc.edu/~rogerRoger Koenker email[EMAIL PROTECTED]Department of Economics vox: 217-333-4558University of Illinois fax: 217

[R] var/cov matrix for a quantile regression model

Dear all, I'm trying to get the variance/covarince matrix after fitting a quantile regression model (either linear or non linear), in order to get the variance of my predictions and be able to calculate the median squared error. The commands working for the lm models (corr=T or vcov=T) do not se