Re: [R] error in "ca.jo"

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Re: [R] error in "ca.jo"

ferno'. > > http://www.burns-stat.com/documents/books/the-r-inferno/ > > If you have a question related to the actual > function as opposed to general problems with > R, then the r-sig-finance mailing list would > be appropriate (you need to subscribe before > posting). >

[R] error in "ca.jo"

Dear all, I fit co-integration function between two integrated variables(y1 and y2) over different grid points: for(i in 1:N1){ for(j in 1:N2){ co<-ca.jo(data.frame(cbind(y2[i,j,],y1[i,j,])),type="trace", K=2, spec="transitory",ecdet="const",season=NULL,dumvar=NULL) }} I have already extracted gr

[R] plots for presentation

Dear users, I am preparing a presentation in latex(beamer) . I would like to show parts of my plots per click. Example, consider I have two time series x and y: x<-ts(rnorm(100), start=1900,end=1999) y<-ts(rnorm(100), start=1900,end=1999) plot(x) lines(y,col=2) Then I imported this plot into late

[R] Markov-switching VAR estimation and simulation

Dear R users, I need to fit and then simulate the fitted 2 state Markov-switching VAR model. My google search shows that there is a package called MSVAR for problems of this kind. But it seems the package is removed from the CRAN repository. May I get a help from someone here please? Thanks Mam

[R] VECM simulation

Dear members, I estimated a vector error correction model (VECM) using the "ca.jo" function in package "urca". I need to simulate the estimated model using R. I am aware how to simulate a VAR(p) model. Since the VECM is in difference form, I can't modify the VAR simulation codes to VECM. May one h

Re: [R] VAR with GARCH effect

l like: x_t = A1*x_{t-1} + A2*x_{t-2} + ... + Ap*x_{t-p} + error allowing garch effect in the error term(my data looks hetroskedastic). Thanks On Mon, Mar 5, 2012 at 1:46 PM, John Kerpel wrote: > See the rmgarch package. > > On Mon, Mar 5, 2012 at 6:09 AM, mamush bukana wrote: &g

[R] VAR with GARCH effect

Dear list, Can one suggest me if there is an R function/package to estimate and simulate vector autoregressive (VAR) model allowing for the GARCH effect please? Thanks Mamush [[alternative HTML version deleted]] __ R-help@r-project.org mailing

Re: [R] fractional cointegration

Some typo in my question below: I am *attempting* to...not stempting... Regards Mamush -- Forwarded message -- From: mamush bukana Date: Sun, Feb 5, 2012 at 12:13 AM Subject: fractional cointegration To: r-help@r-project.org Dear folk, I am stempting to estimate a

[R] fractional cointegration

Dear folk, I am stempting to estimate a vector error correction model using a seemingly fractionally integrated multivariate time series. The *fracdiff *package provides tools to estimate degree of fractional integration. But *fracdiff *can't help me to: 1. test equality of two degrees of fractio