I do not know garchfit, but it looks to me like it is expecting data
to be a data frame, and you are setting a vector. since you are
setting both variable in the global evironment, wouldn't it work
without the data argument?
Laurent
2008/11/20 Degraeve, Frederic <[EMAIL PROTECTED]>:
> 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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