I does look like the python function garch given in the example is mixing up few things, and that var_r in by definition in that very function not a data.frame.
L. PS: Isnt't "fGarch" for teaching computational finance ? laurent oget wrote: > 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 >> This message (and any associated files) is intended only for the >> use of the individual or entity to which it is addressed and may >> contain information that is confidential, subject to copyright or >> constitutes a trade secret. 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