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
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