Dear Users,
Can I perform panel data (fixed effects model) out of sample forecasts using R?
Thanks in advance,
Ricardo.
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PLEA
Dear Users,
Consider a multivariate time series model:
a_1*y(t)-...-a_k*y(t-k)=b+[c_1*z(t)-...-c_j*z(t-j)]
i.e., a simple multivariate time series model with one exogenous variable.
I would like to know what package can I use to do the following, using R:
1) Select k and j jointly;
2) Estimate t
Hi Folks,
Please,
when I ask the option reg.line at the scatterplot in package car, the OLS
models includes a constant?
If not how can I do it sing the following code:
scatterplot(lfirms ~ lscale,
data=dataset,
reg.line=lm, smooth=FALSE, labels=FALSE,
span=0.5,
xlab="Relative
Hi user,
I would like to know how can I compute credit rating migration matrix using R.
I have 10 years data (monthly rates for each firm) and I would like
to compute 12 (and more) months ahead migrations.
Any hints?
Best
Rick
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Werner,
I know that S-Plus package Finmetrics has a NLSUR function.
This is a commercial package, but maybe if you write the authors asking
for code only, or some hints...
Rick
--
From: "Werner W."
Sent: Friday, January 08, 2010 10:21 PM
To:
Sub
nt: Sunday, December 27, 2009 11:13 PM
To: Cedrick W. Johnson
Cc: Ricardo Gonçalves Silva ; R-Help
Subject: Re: [R] R and Finance - EAD, LGD, PD
i think rick's questions are more related to basel II instead of R and don't
think there is such a R package.
per my limited knowledge, th
Hi,
I'm currently beginning to use R for financial analysis (mainly Basel II
benchmarks) and I would like to know if any R-User can give me some initial
directions on packages and tutorials which I can use to calculate capital
requirements, default probabilities, and related stuff.
Thanks in a
Ok,
Thanks all.
Rick.
--
From: "Achim Zeileis"
Sent: Thursday, November 19, 2009 3:06 PM
To: "Ricardo Gonçalves Silva"
Cc: "R-Help" ;
Subject: Re: [R] Problem with zoo and BootPR packages
On Thu, 19 Nov 2009,
Hi,
I'm trying to plot the forecasts I generated using the Plot.Fore function of
the BootPR package.
But I got an error from zoo:
My data:
Time Series:
Start = 1
End = 18
Frequency = 1
[1] 38731 38628 39117 92809 71984 31226 58613 72360 107956 92066
[11] 95208 99098 95848 120383
dimension of your problem?
HTH,
Rick
--
From: "Frank E Harrell Jr"
Sent: Thursday, November 05, 2009 4:12 PM
To: "Ricardo Gonçalves Silva"
Cc: "bbslover" ;
Subject: Re: [R] variable selectin---reduce the numbers of in
Dear Users,
I follow Andreas idea to simulate an ar(1) model with a new kind of innovation
process.
The new argument rand.gen, for the arima.sim function, I'm trying to generate
as:
tGarchGen <- function(a, b, c) {
# must return a vector of random deviates (eta(t))
for (t in 1:100){
z(t
Hi,
Nowdays there's a lot o new variable selection methods, specially using the
Bayes Paradigm.
For your problem, I think you could try the Bayesian Model Average BMA
package.
Or, you can reduce your data dimension by PCA, which also permits you see
the weight of
each variable in the PC.
HTH
Thanks Andreas.
This is just the start point I was needing.
Best,
Rick
From: Andreas Hary
Sent: Tuesday, November 03, 2009 7:19 AM
To: Ricardo Gonçalves Silva
Subject: Re: [R] AR Simulation with non-normal innovations - Correct
Have a look at function arima.sim. It allows you to specify a
Dear Users,
I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the
innovations are supposed to follow a t-GARCH(1,1) proccess.
By t-GARCH I want to mean that:
e_t=n_t*sqrt(h_t) and
h_t=ct2+a*(e_t)^2+b*h_t-1.
where n_t is a random variable with t-Student distribution.
If s
Dear Users,
I would like to simulate AR(1) (y_t=ct1+y_t-1+e_t) model in R where the
innovations are supposed to follow a t-GARCH(1,1) proccess.
By t-GARCH I want to mean that:
e_t=n_t*sqrt(h_t) and
h_t=ct2+a*(e_t)^2+b*h_t-1.
If someone could give some guidelines, I can going developing the mo
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