Hello,
I am trying to make the following code work.
--------------------------------------------------------
import rpy2.robjects as robjects
r = robjects.r
r.library("fGarch")
def garch(p, q):
robjects.globalEnv["var_r"] =
robjects.FloatVector([4.17,5.58,5.18,6.11,4.50,4.61,5.17,4.53,5.33,5.14])
robjects.globalEnv["var_t"] =
robjects.FloatVector([4.81,4.17,4.41,3.59,5.87,3.83,6.03,4.89,4.32,4.69])
lm = r.lm("var_r ~ var_t")
print r.anova(lm)
robjects.globalEnv["res"] = r.garchFit("data ~
garch("+str(p)+","+str(q)+")", "data=var_r")
print r.summary("res")
if __name__ == "__main__":
garch(1, 1)
----------------------------------------------------------
And the answer.
----------------------------------------------------------
Analysis of Variance Table
Response: var_r
Df Sum Sq Mean Sq F value Pr(>F)
var_t 1 0.64094 0.64094 2.1197 0.1835
Residuals 8 2.41902 0.30238
Traceback (most recent call last):
File "D:\Devel\workspace\Model\src\libstrategist\modelRE\garch.py", line 16,
in <module>
garch(1, 1)
File "D:\Devel\workspace\Model\src\libstrategist\modelRE\garch.py", line 11,
in garch
robjects.globalEnv["res"] = r.garchFit("data ~
garch("+str(p)+","+str(q)+")", "data=var_r")
File "C:\Python25\Lib\site-packages\rpy2\robjects\__init__.py", line 407, in
__call__
res = super(RFunction, self).__call__(*new_args, **new_kwargs)
rinterface.RRuntimeError: Error in if (allVarsTest != 1) { : missing value
where TRUE/FALSE needed
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fBasics
Loading required package: MASS
Warning messages:
1: package 'fGarch' was built under R version 2.7.2
2: package 'timeDate' was built under R version 2.7.2
3: package 'timeSeries' was built under R version 2.7.2
4: package 'fBasics' was built under R version 2.7.2
Error in if (allVarsTest != 1) { : missing value where TRUE/FALSE needed
In addition: Warning message:
In data(data = var_r) : data set 'var_r' not found
----------------------------------------------------------
I don't understand why lm can see var_r and why garchFit don't.
Thank you for any help!
Frédéric
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