Actually I can afford for it. Think that Think Jorge Ivan Velez wrote: > > Anything else? > > > Jorge > > > On Sun, Jun 1, 2008 at 5:30 PM, ensark <[EMAIL PROTECTED]> wrote: > >> >> hý, 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. >> > > [[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. > > > ----- > Thanks, > > > Jorge Ivan Velez >
-- View this message in context: http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17592166.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.