project.org] On Behalf Of Mikael Olai
Milhøj
Sent: 26 February 2015 16:03
To: r-help@r-project.org
Subject: [R] Dummy variable in ARIMA
Hi all
I have been searching on the web in vain. I want to include a dummy variable in
my ARIMA model. Let's say that I want to make an AR(1) model for
Dig deeper.
-- Bert
Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374
"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
Clifford Stoll
On Thu, Feb 26, 2015 at 8:29 AM, Mikael Olai Milhøj
wrote:
> Hi.
>
> First of all, thx. But when
> On 26 Feb 2015, at 17:29 , Mikael Olai Milhøj wrote:
>
> Hi.
>
> First of all, thx. But when using in arima(...xreg=fact,...) then fact
> should be a vector and not a factor variable? Maybe I should have been more
> clear in my first mail, sorry. Or else I have to dig deeper into factors.
>
Hi.
First of all, thx. But when using in arima(...xreg=fact,...) then fact
should be a vector and not a factor variable? Maybe I should have been more
clear in my first mail, sorry. Or else I have to dig deeper into factors.
/Mikael
On Thu, Feb 26, 2015 at 5:17 PM, Bert Gunter wrote:
> Inline
Inline.
Cheers,
Bert
Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374
"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
Clifford Stoll
On Thu, Feb 26, 2015 at 8:02 AM, Mikael Olai Milhøj
wrote:
> Hi all
>
> I have been searching on
Hi all
I have been searching on the web in vain. I want to include a dummy
variable in my ARIMA model. Let's say that I want to make an AR(1) model
for X including a dummy variable which should be 1 for observation 4,5,6
and zero otherwise (let's say that there is 50 observations in total). How
do
Sorry, I could write Dummy and not Gummy.
Regards
--- El jue, 20/9/12, Eva Prieto Castro escribió:
De: Eva Prieto Castro
Asunto: Gummy Variable : Doubt
Para: R-help@r-project.org
Fecha: jueves, 20 de septiembre, 2012 11:13
Hi,
Â
I have a system in which I analyze 2 subjects and 1 vari
oh god, thanks!now it looks so simple!!
--
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On Jul 22, 2012, at 14:45 , Rui Barradas wrote:
> Hello,
>
> See if this is it.
>
>
> returns <- rnorm(10)
> dummy <- ifelse(returns < 0, -1, 0)
Sara had "1 if results are negative", so lose the minus. It is easier just to
say
dummy <- as.numeric(returns < 0)
-pd
>
>
> Hope this helps
Sara:
Are you sure?? I am wholly unfamiliar with garch, but in general, R
does not need dummy variables at all. You make your covariate a factor
with appropriate contrasts and then write an appropriate model
formula, in this case, with an interaction with your series.
I could be wrong in this cas
Hello,
See if this is it.
returns <- rnorm(10)
dummy <- ifelse(returns < 0, -1, 0)
Hope this helps
Rui Barradas
Em 22-07-2012 08:53, saraberta escreveu:
Hi,
i need a little help! i must create a dummy variable to insert as external
regressor in the variance equation of a garch model; this
Hi,
i need a little help! i must create a dummy variable to insert as external
regressor in the variance equation of a garch model; this dummy is referred
to the negative sign of returns of an asset, so it has to be 1 when returns
are negative and 0 when they are positive, and in my model the dummy
Dear list members,
I want to apply AR(1)-GARCH(1,1) model in order to conduct a test of
structural shifts in conditional correlations which I previously estimated.
To be more exact, first, I estimate the conditional correlations using the
DCC-GARCH model. Now I want to check whether these correla
> > The best encoding depends upon which language you would like to
manipulate
> > the variable in. In R, genders are most naturally represented as
factors.
> > That means that in an external data source (like a spreadsheet of
data),
> > you should ideally have the gender recorded as human-
richard.cot...@hsl.gov.uk writes:
> The best encoding depends upon which language you would like to manipulate
> the variable in. In R, genders are most naturally represented as factors.
> That means that in an external data source (like a spreadsheet of data),
> you should ideally have the g
>can anyone tell me why an encoding of 1/2 for a dummy variable for
>two groups (e.g. gender) seems to be preferred over 0/1?
>It's been bugging me for a while, 0/1 seems more natural, but I have
>been told (without explanation) that 1/2 is better. Why?
The best encoding depends up
Hi,
can anyone tell me why an encoding of 1/2 for a dummy variable for
two groups (e.g. gender) seems to be preferred over 0/1?
It's been bugging me for a while, 0/1 seems more natural, but I have
been told (without explanation) that 1/2 is better. Why?
--
aleblanc
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