Displaying 20 results from an estimated 400 matches similar to: "Modified Sims test"
2007 Sep 06
3
Lisp-like primitives in R
I mainly program in Common Lisp and use R for statistical analysis.
While in R I miss the power and ease of use of Lisp, especially its many
primitives such as find, member, cond, and (perhaps a bridge too far)
loop.
Has anyone created a package that includes R analogs to a subset of Lisp
functions?
Chris Elsaesser, PhD
Principal Scientist, Machine Learning
SPADAC Inc.
7921 Jones
2007 Sep 21
2
Likelihood ration test on glm
I would like to try a likelihood ratio test in place of waldtest.
Ideally I'd like to provide two glm models, the second a submodel of the
first, in the style of lrt
(http://www.pik-potsdam.de/~hrust/tools/farismahelp/lrt.html). [lrt
takes farimsa objects]
Does anyone know of such a likelihood ratio test?
Chris Elsaesser, PhD
Principal Scientist, Machine Learning
SPADAC Inc.
7921
2007 May 17
4
using lm() with variable formula
New to R; please excuse me if this is a dumb question. I tried to RTFM;
didn't help.
I want to do a series of regressions over the columns in a data.frame,
systematically varying the response variable and the the terms; and not
necessarily including all the non-response columns. In my case, the
columns are time series. I don't know if that makes a difference; it
does mean I have to call
2008 Aug 17
2
grangertest/lmtest ... what am I doing wrong ?
Dear Achim, R Users,
What am I doing wrong in this example ?
a<-zoo(rnorm(100),order.by=1:100)
b<-lag(a)
regr<-na.exclude(merge(a,b))
plot(regr)
grangertest(regr[,1],regr[,2],3)
> a<-zoo(rnorm(100),order.by=1:100)
> b<-lag(a)
> regr<-na.exclude(merge(a,b))
> plot(regr)
> grangertest(regr[,1],regr[,2],3)
Error in solve(vc[ovar, ovar]) : subscript out of bounds
2009 Nov 16
2
test for causality
Hi useRs..
I cant figure out how to test for causality using causality() in vars
package
I have two datasets (A, B) and i want to test if A (Granger)cause B.
How do I write the script? I dont understand ?causality. How do I get x to
"contain" A and B. Further using the command VAR() to specify x, I dont
either understand.
Kind regards Tobias
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2008 Jul 02
2
Optimal lag selection in Granger Causality tests
Dear R Users,
Can someone point me to a R package which will help me optimally choose a
lag for Granger Causality testing ?
Many thanks in advance,
Tolga
Generally, this communication is for informational purposes only
and it is not intended as an offer or solicitation for the purchase
or sale of any financial instrument or as an official confirmation
of any transaction. In the event you are
2011 Apr 14
1
Automatically extract info from Granger causality output
Dear Community,
this is my first programming in R and I am stuck with a problem. I
have the following code which automatically calculates Granger
causalities from a variable, say e.g. "bs" as below, to all other
variables in the data frame:
log.returns<-as.data.frame( lapply(daten, function(x) diff(log(ts(x)))))
y1<-log.returns$bs
y2<- log.returns[,!(names(log.returns) %in%
2011 Mar 03
2
Multivariate Granger Causality Tests
Dear Community,
For my masters thesis I need to perform a multivariate granger causality
test. I have found a code for bivariate testing on this page
(http://www.econ.uiuc.edu/~econ472/granger.R.txt), which I think would not
be useful for the multivariate case. Does anybody know a code for a
multivariate granger causality test. Thank you in advance.
Best Regards
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2010 Dec 01
1
Wiener-Granger Causality Test in R
Hello dudes.
I'm developing VAR analysis based on suggestions made by Horváth in its
paper Canonical Correlation Analysis and Wiener-Granger Causality Tests.
That's the reason I'm looking for if there's any R package to develop Wiener
- Granger Causality Test.
Thanks a lot for your unvaluable help.
Regards from Mexico
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2008 Jun 28
1
Converting the results of granger.test into a matrix
Dear R Users,
The granger.test command in the MSBVAR package estimates all possible
bivariate Granger causality tests for m variables. If one passes a data
frame with 3 rows, it returns 6 granger tests in two rows, one for the
F-statistic and another for the p-value.
For example:
> a<-rnorm(1:10)
> b<-c(lag(a),rnorm(1))
> c<-c(lag(b),rnorm(1))
>
2011 Apr 04
1
Granger Causality in a VAR Model
Dear Community,
I am new to R and have a question concerning the causality () test in
the vars package. I need to test whether, say, the variable y Granger
causes the variable x, given z as a control variable.
I estimated the VAR model as follows: >model<-VAR(cbind(x,y,z),p=2)
Then I did the following: >causality(model, cause="y"). I thing this
tests the Granger causality of
2009 Mar 12
1
alternative to EMV?
I need a package that can compute missing values of n-dimensional vectors for n > 2. This is a kind of interpolation, complicated in dimensions higher than 2. The idea is that I have a set of fully specified vectors (i.e., with no missing values) and I get a new vector that has one or more missing attributes; I need to fill in the missing values with values that are, based on the 'training
2005 Oct 06
4
Backup Maildir
Hi All,
I'm currently doing nightly full backups of /home. I'm not sure if a
full back up is the best way to do backups. I know with my
fileserver i do weekly full backup and daily incremental which would
file on those type of files. I guess my question to the group is,
how do you guys backup Maildir? whats the best way of doing it?
--
Gabe Granger
Pancentric
results-driven
2010 Aug 23
2
Engle Granger Test in R
Hi,
Please tell me the R codes for Engle Granger Test of cointegration.
TIA
Aditya
2003 Jun 10
1
Regression output labels
Hello to all-
1. When I run a regression which implements the augmented Dickey-Fuller
test, I am confused about the names given to the regressors in the output.
I understand what "xGE" stands for in a standard "lm" test involving an
independent variable GE for instance, but if I lags and or differences are
included in the model, what do the following "output" stand
2008 Dec 03
2
Spectral Analysis of Time Series in R
Dear R Community,
I am currently student at the Vienna University of Technology writing my
Diploma thesis on causality in time series and doing some analyses of
time series in R. I have the following questions:
(1) Is there a function in R to estimate the PARTIAL spectral coherence
of a multivariate time series? If yes, how does this work? Is there an
test in R if the partial spectral
2013 Apr 20
1
Convergent Cross Mapping
Dear All,
I am looking for an R implementation of the convergent cross mapping
method (see http://bit.ly/XN8OZX and
http://www.uvm.edu/~cdanfort/csc-reading-group/sugihara-causality-science-2012.pdf
)
The method is presented as an improvement over Granger causality (
http://bit.ly/XN8ydi ), but its implementation (involving shadows of
multidimensional manifolds) must be quite some work...
2012 Jul 14
1
Quantile Regression - Testing for Non-causalities in quantiles
Dear all,
I am searching for a way to compute a test comparable to Chuang et al.
("Causality in Quantiles and Dynamic Stock
Return-Volume Relations"). The aim of this test is to check wheter the
coefficient of a quantile regression granger-causes Y in a quantile range. I
have nearly computed everything but I am searching for an estimator of the
density of the distribution at several
2012 Jul 28
4
quantreg Wald-Test
Dear all,
I know that my question is somewhat special but I tried several times to
solve the problems on my own but I am unfortunately not able to compute the
following test statistic using the quantreg package. Well, here we go, I
appreciate every little comment or help as I really do not know how to tell
R what I want it to do^^
My situation is as follows: I have a data set containing a
2010 Nov 03
0
Granger causality with panel data (econometrics question)
Hi folks,
I am trying to perform a Granger causality analysis with panel data. There
are some packages around for panel data analysis and Granger causality.
However, I have found neither a package for both panel data and Granger
causality nor any R procedures (homogenous/heterogenous causality
hypotheses, related tests such as Wald, unit root tests etc.).
Of course, someone must have