Re: [R] Dickey-Fuller Test
tseries (adf.test) On Monday 23 May 2005 12:27, Amir Safari wrote: > Hi All , > Could you please tell using which library ,Dickey-Fuller Test can be run? > Thanks a lot > > __ > > > > [[alternative HTML version deleted]] > > __ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html -- * Miguel A. Arranz Tol-Project [EMAIL PROTECTED] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Load package using R code rather than GUI Package menu
library(boot) On Friday 03 June 2005 18:00, John Sorkin wrote: > Is there any way to load a package using R code rather than the Load > Package command in the Package menu? I would like to load the boot > package. > R.2.1.0 Patched > Win 2k. > > Thanks, > John > > John Sorkin M.D., Ph.D. > Chief, Biostatistics and Informatics > Baltimore VA Medical Center GRECC and > University of Maryland School of Medicine Claude Pepper OAIC > > University of Maryland School of Medicine > Division of Gerontology > Baltimore VA Medical Center > 10 North Greene Street > GRECC (BT/18/GR) > Baltimore, MD 21201-1524 > > 410-605-7119 > -- NOTE NEW EMAIL ADDRESS: > [EMAIL PROTECTED] > > __ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html -- * Miguel A. Arranz Tol-Project [EMAIL PROTECTED] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Compilation package error
Please, tell us more about the packages and libraries installed. I did compile and installed gstat on a machine running sid64 (unstable) with no problems. The only thing is that I did not compile with the -mieee-with-inexact switch. Hope this helps. On Monday 24 October 2005 17:07, Poizot Emmanuel wrote: > Dear all, > I tried to install gstat package and add the following compilation error : > > > > * Installing *source* package 'gstat' ... > creating cache ./config.cache > checking for gcc... gcc > checking whether the C compiler (gcc ) works... yes > checking whether the C compiler (gcc ) is a cross-compiler... no > checking whether we are using GNU C... yes > checking whether gcc accepts -g... yes > checking how to run the C preprocessor... gcc -E > checking for AIX... no > checking for minix/config.h... no > checking for POSIXized ISC... no > checking for ANSI C header files... yes > checking for working const... yes > checking whether time.h and sys/time.h may both be included... yes > checking for 8-bit clean memcmp... yes > checking for vprintf... yes > checking for strstr... yes > checking for strtod... yes > checking for strtol... yes > checking for drand48... yes > checking for gettimeofday... yes > checking whether byte ordering is bigendian... no > checking for memory.h... yes > checking for ANSI C header files... (cached) yes > checking for gcc option to accept ANSI C... > checking for function prototypes... yes > checking for working const... (cached) yes > checking for complex.h... yes > checking for malloc.h... yes > checking for varargs.h... no > checking for size_t... yes > checking for working const... (cached) yes > checking whether byte ordering is bigendian... (cached) no > checking for u_int > computing machine epsilon(s) > gcc -o macheps ./src/meschach/dmacheps.c > gcc -o macheps ./src/meschach/fmacheps.c > computing M_MAX_INT > gcc -o maxint maxint.c > ./src/meschach/maxint.c: In function 'main': > ./src/meschach/maxint.c:37: warning: incompatible implicit declaration > of built-in function 'printf' > checking char \\0 vs. float zeros > checking for bcopy... yes > checking for bzero... yes > checking for function prototypes > checking for function prototypes in structures > updating cache ./config.cache > creating ./config.status > creating makefile > creating src/config.h > creating src/machine.h > ** libs > gcc -I/usr/lib/R/include -mieee-with-inexact -fPIC -g -O2 -c block.c > -o block.o > gcc -I/usr/lib/R/include -mieee-with-inexact -fPIC -g -O2 -c > chfactor.c -o chfactor.o > gcc -I/usr/lib/R/include -mieee-with-inexact -fPIC -g -O2 -c copy.c > -o copy.o > gcc -I/usr/lib/R/include -mieee-with-inexact -fPIC -g -O2 -c data.c > -o data.o > /tmp/ccXDZili.s: Messages de l'assembleur: > /tmp/ccXDZili.s:8032: ERREUR: Opérande de relocalisation inconnue: > !lituse_jsrdirect > make: *** [data.o] Erreur 1 > ERROR: compilation failed for package 'gstat' > ** Removing '/usr/local/lib/R/site-library/gstat' > ** Restoring previous '/usr/local/lib/R/site-library/gstat' > ---> > > R run on a dec alpha station under Debian Sarge 64 bits (alpha version > of course). > Compiler version is gcc 4.0.2. > > Regards > > > > Emmanuel Poizot > Cnam/Intechmer > B.P. 324 > 50103 Cherbourg Cedex > > Phone (Direct) : (00 33)(0)233887342 > Fax : (00 33)(0)233887339 > -- * Miguel A. Arranz Tol-Project [EMAIL PROTECTED] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] Writing output to a file in a loop
That is correct, you have to specify with print or cat what you want to sink.
This should work for you:
print(summary(fit))
print(logLik(fit))
print(fcv)
I hope this helps.
On Thursday 10 February 2005 11:40, Wojtek Slusarski wrote:
> Hello,
> My problem is, that I have to build hundreds of GARCH models to obtain
> volatility forecasts. I would like to run a loop, that would build those
> forecasts for me. There is no problem, with writing only the results of
> the forecasts, but I'd like to have stored results of the models in some
> file, that I could check later, what are the models like, to be able to
> compare if I should use GARCH(1,1) or GARCH(0,4) or any other, that
> suits the data best. The data file looks like that:
>
> TICKER;DTMMDD;OPEN;HIGH;LOW;CLOSE;VOL
> WIG20;19940414;1000,00;1000,00;1000,00;1000,00;71600
> WIG20;19940418;1050,47;1050,47;1050,47;1050,47;99950
> WIG20;19940419;1124,92;1124,92;1124,92;1124,92;138059
> ...
>
> I wrote a script to do that, but when I use sink() to save the results
> in a text file, after running the script files are empty. I read in FAQ,
> that in a loop R only computes and prints only some warning messages,
> but I don't know how to do that in any other way, to ommit this problem.
> Below I enclose the code:
>
>
>
> library(tseries)
>
> wig20 <- read.csv("wig20.txt", sep=";", dec=",")
> m <- 2321#upper bound of time series
> niter <- 10#length(wig20$CLOSE)- m
> fcv <- 0
>
>
> for (i in 1:niter){
>
> m <- m + 1
> r <- 100*diff(log(wig20$CLOSE[1:m]))
> y <- r - mean(r)
> fit <- garch(y, order = c(1,1))
>
> sink("garch21.txt", append = TRUE)
> summary(fit)
> logLik(fit)
> sink()
>
> cv <- predict(fit, genuine=TRUE)
> fcv <- c(fcv,cv[length(cv)/2,1])
>
> postscript("garch21.ps",encoding="ISOLatin2",
>title = paste("Day: ",wig20$DTMMDD[m]),
>paper = "a4",
>family = "URWTimes",
>append = TRUE)
>
> plot(fit, ask=FALSE)
>
> dev.off()
>
> }
>
> sink("forecasts.txt")
>
> fcv
>
> sink()
>
> ###
>
> The most wondering thing for me is that, plots are stored in the ps
> file, but only the ones from last iteration. In manuals there is:
>
> append: logical; currently *disregarded*; just there for
>compatibility reasons.
>
> What does *disregarded* actually mean and when I will be able to add a
> title before each set of plots, because now the option title is not
> adding anything to file.
>
> I will be very thankfull for any help.
>
> Best regards,
> Wojtek Slusarski
>
> __
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
__
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Re: [R] Strange Colnames
You probably want to have a look at help(embed). It might be all you need.
On Friday 25 February 2005 12:49, Georg Hoermann wrote:
> Hello world,
>
> I am trying to create a matrix of lagged time series with the
> following code fragment (I know that I can use acf-function...).
> I want to set the variable/column name to something like
> "lag 1" etc. If I try to do it I get text like
> "lagtest.lagtest.lagtest.lag 1" where does this come from?
>
> After a conversion to a data.frame it works as expected.
> What did I miss?
>
> Thanks and greetings,
>
> Georg
> ==
>
> > lagtest <- as.ts(seq(1:100)) ;
> > for (i in 1:4) {lagtest <- cbind(lagtest,lag(ts_test,i));
>
> colnames(lagtest)[i+1]<- paste("lag",i)}
>
> > colnames(lagtest)[1]<-"H_GW";
> > colnames(lagtest)
>
> [1] "H_GW" "lagtest.lagtest.lagtest.lag 1"
> "lagtest.lagtest.lag 2"
> [4] "lagtest.lag 3" "lag 4"
>
>
> # this works...
>
> > t5 <- as.data.frame(lagtest)
> > for (i in 1:4) {names(t5)[i+1] <- paste("var",i) }
> > names(t5)
>
> [1] "H_GW" "var 1" "var 2" "var 3" "var 4"
>
>
> __
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
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Re: [R] LOCFIT: What's it doing?
You should definitely read Loader's book. Anyway, in the meantime, you should
look an introductory paper that you will find at the Locfit web page. I think
that you can set Locfit to estimate at all the sample points, which it does
not by default, and also to use a prespecified constant bandwidth, but notice
that its definition of the h parameter is not the standard one.
Hope this helps,
Miguel A.
On Thursday 14 April 2005 10:47, Jacho-Chavez,DT (pgr) wrote:
> Dear R-users,
>
> One of the main reasons I moved from GAUSS to R (as an econometrician) was
> because of the existence of the library LOCFIT for local polynomial
> regression. While doing some checking between my former `GAUSS code' and my
> new `R code', I came to realize LOCFIT is not quite doing what I want. I
> wrote the following example script:
>
> #--
>--- # Plain Vanilla NADARAYA-WATSON
> estimator (or Local Constant regression, e.g. deg=0) # with gaussian kernel
> & fixed bandwidth
>
> mkern<-function(y,x,h){
> Mx <- matrix(x,nrow=length(y),ncol=length(y),byrow=TRUE)
> Mxh <- (1/h)*dnorm((x-Mx)/h)
> Myxh<- (1/h)*y*dnorm((x-Mx)/h)
> yh <- rowMeans(Myxh)/rowMeans(Mxh)
> return(yh)
> }
>
> # Generating the design Y=m(x)+e
> n <- 10
> h <- 0.5
> x <- rnorm(n)
> y <- x + rnorm(n,mean=0,sd=0.5)
>
> # This is what I really want!
> mhat <- mkern(y,x,h)
>
> library(locfit)
> yhl.raw <-
> locfit(y~x,alpha=c(0,h),kern="gauss",ev="data",deg=0,link="ident")
>
> # This is what I get with LOCFIT
> print(cbind(x,mhat,residuals(yhl.raw,type="fit"),knots(yhl.raw,what="coef")
>))
> #--
>--
>
> Questions:
> 1) Why are residuals(.) & knots(.) results different from one another? If I
> want m^(x[i]) at each evaluation point i=1,...,n, which one should I use? I
> do not want interpolation whatsoever. 2) Why are they `close' but not equal
> to what I want?
>
> I can accept differences for higher degrees and multidimensional data at
> the boundary of the support (given the way we must do the regression in
> areas with sparse data) But why are these difference present for deg=0
> inside the support as well as at the boundary? The computer would still
> give us a result even with a close-to-zero random denominator (admittedly,
> not a reliable one). Unfortunately, I cannot get access to a copy of
> "Loader, C. (1999) Local Regression and Likelihood, Springer" from my local
> library, so a small explanation or advice would be greatly appreciated.
>
> I do not mind using an improved version of `what I want', but I would like
> to understand what am I doing?
>
>
> Thanks in advanced for your help,
>
>
> David Jacho-Chávez
>
> __
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
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[R] Multiple periodicities
Derar all, This is a problem that I am unable to solve. I am interested in analyzing some high-frequency data which show two periodicities (periods 5 and 260), It is clear how to estimate models with one periodicity with arima() but I have not been able to include both periodicities. Is there some good way to handle tis kind of problem? Thanks in advane, Miguel A. -- * Miguel A. Arranz Tol-Project [EMAIL PROTECTED] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
