tolga.i.uzuner at jpmorgan.com
2008-Jun-28 17:48 UTC
[R] 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)) > gt<-granger.test(cbind(a,b,c),p=3) > gtF-statistic p-value b -> a 0.004514574 0.9994483 c -> a 0.004514574 0.9994483 a -> b 0.032037576 0.9901814 c -> b 0.000000000 1.0000000 a -> c 0.005241195 0.9993111 b -> c 0.000000000 1.0000000>I would like to be able to convert the data in the p-value column above into a 3x3 matrix, displaying these results as follows: a b c a x a->b a->c b b->a x b->c c c->a c->b x Is there an existing utility which can do this for me ? 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 receiving the offering materials attached below related to your interest in hedge funds or private equity, this communication may be intended as an offer or solicitation for the purchase or sale of such fund(s). All market prices, data and other information are not warranted as to completeness or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and affiliates. This transmission may contain information that is privileged, confidential, legally privileged, and/or exempt from disclosure under applicable law. If you are not the intended recipient, you are hereby notified that any disclosure, copying, distribution, or use of the information contained herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this transmission and any attachments are believed to be free of any virus or other defect that might affect any computer system into which it is received and opened, it is the responsibility of the recipient to ensure that it is virus free and no responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as applicable, for any loss or damage arising in any way from its use. If you received this transmission in error, please immediately contact the sender and destroy the material in its entirety, whether in electronic or hard copy format. Thank you. Please refer to http://www.jpmorgan.com/pages/disclosures for disclosures relating to UK legal entities. [[alternative HTML version deleted]]
tolga.i.uzuner at jpmorgan.com
2008-Jun-28 19:15 UTC
[R] Converting the results of granger.test into a matrix
Hi Patrick,
Thanks, that worked.
noitems<-3
firstcol<-{result<-NULL;for(i in
1:noitems)result<-c(result,(1:noitems)[-i]);result}
secondcol<-{result<-NULL; for(i in 1:noitems)
result<-c(result,rep(i,noitems-1)); result}
cols<-cbind(firstcol,secondcol)
gt_mat<-array(NA,c(noitems,noitems))
gt_mat[cols]<-gt[,"p-value"]
gt_mat
I am sure there is a more elegant way to create firstcol and secondcol,
but it works, nonetheless.
Tolga
Patrick Burns <pburns@pburns.seanet.com>
28/06/2008 19:29
To
tolga.i.uzuner@jpmorgan.com
cc
Subject
Re: [R] Converting the results of granger.test into a matrix
Tolga,
What pops into my mind is to use matrix subscripting
(described in chapter 1 of S Poetry if you aren't familar).
Something like:
pmat <- array(NA, c(n, n))
pmat[cbind(first.ind, second.ind)] <- gt[, 'p-value']
This presumes that you know the meaning of each
of the rows of 'gt' which I'm assuming you can get
somehow.
Patrick Burns
patrick@burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")
tolga.i.uzuner@jpmorgan.com wrote:> 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))
>> gt<-granger.test(cbind(a,b,c),p=3)
>> gt
>>
> F-statistic p-value
> b -> a 0.004514574 0.9994483
> c -> a 0.004514574 0.9994483
> a -> b 0.032037576 0.9901814
> c -> b 0.000000000 1.0000000
> a -> c 0.005241195 0.9993111
> b -> c 0.000000000 1.0000000
>
>
> I would like to be able to convert the data in the p-value column above
> into a 3x3 matrix, displaying these results as follows:
>
> a b c
> a x a->b a->c
> b b->a x b->c
> c c->a c->b x
>
> Is there an existing utility which can do this for me ?
>
> 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 receiving the offering
> materials attached below related to your interest in hedge funds or
> private equity, this communication may be intended as an offer or
> solicitation for the purchase or sale of such fund(s). All market
> prices, data and other information are not warranted as to
> completeness or accuracy and are subject to change without notice.
> Any comments or statements made herein do not necessarily reflect
> those of JPMorgan Chase & Co., its subsidiaries and affiliates.
>
> This transmission may contain information that is privileged,
> confidential, legally privileged, and/or exempt from disclosure
> under applicable law. If you are not the intended recipient, you
> are hereby notified that any disclosure, copying, distribution, or
> use of the information contained herein (including any reliance
> thereon) is STRICTLY PROHIBITED. Although this transmission and any
> attachments are believed to be free of any virus or other defect
> that might affect any computer system into which it is received and
> opened, it is the responsibility of the recipient to ensure that it
> is virus free and no responsibility is accepted by JPMorgan Chase &
> Co., its subsidiaries and affiliates, as applicable, for any loss
> or damage arising in any way from its use. If you received this
> transmission in error, please immediately contact the sender and
> destroy the material in its entirety, whether in electronic or hard
> copy format. Thank you.
> Please refer to http://www.jpmorgan.com/pages/disclosures for
> disclosures relating to UK legal entities.
> [[alternative HTML version deleted]]
>
> ______________________________________________
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> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html> and provide commented, minimal, self-contained, reproducible code.
>
>
>
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 receiving the offering
materials attached below related to your interest in hedge funds or
private equity, this communication may be intended as an offer or
solicitation for the purchase or sale of such fund(s). All market
prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice.
Any comments or statements made herein do not necessarily reflect
those of JPMorgan Chase & Co., its subsidiaries and affiliates.
This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.
Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.
[[alternative HTML version deleted]]