search for: chicagobooth

...arse matrices for some of the data inputs? Thanks, JP ____________________________________________ Jean-Pierre H. Dubé Sigmund E. Edelstone Professor of Marketing The University of Chicago | Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Tel: (773)-834-5377 e-mail: jdube@ChicagoBooth.edu<mailto:jdube@ChicagoBooth.edu> WWW: ChicagoBooth.edu/fac/jean-pierre.dube SSRN: http://ssrn.com/author= 105881<http://ssrn.com/author=%20105881> [[alternative HTML version deleted]]

Hi, I'm slowly working through Tsay's "Analysis of Financial Time Series" 3rd ed. ?I'm trying to replicate Table 2.1 on p.47, which gives PACF, AIC, and BIC for the monthly simple returns of the CRSP value-weighted index. The data: http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt > da <- read.table("http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt", header = TRUE) > vw <- da[, 3] I can replicate the PACF calculations. > x <- pacf(vw) > x Partial autocorrelations of series ?...

Hi everyone- I have a dataset with multiple "pre" and "post" variables I want to compare. The variables are named "apple_pre" or "pre_banana" with the corresponding post variables named "apple_post" or "post_banana". The variables are in no particular order. apple_pre orange_pre orange_post pre_banana apple_post post_banana person_1

...y and started paying around bayesm package, but could not replicate the Conjunctive model's estimates as they appear in Rossi et al "Bayesian Statistics and Marketing", 2005, JWS, pages 264-265, Table CS4.4. I have downloaded in my working directory the documents from http://faculty.chicagobooth.edu/peter.rossi/research/bsm.html and then i have sourced the functions 2 times: one with 1000 MCMC iterations (i simply sourced without any kind of modifications) and one with 4000 iterations (i have modified in the source code the number of iterations to 4000 instead of the defaulted value 1000,...

Hi! I know that there is function in fBasics package for univariate Jarque-Bera test and a funtion for univariate Ljung-Box test in stats package. But I am wondering if there is a function somewhere to do the tests for multivariate time series? Thanks, John [[alternative HTML version deleted]]

Hi all, I am looking for study resources for (financial) time series? Hopefully I could find video lectures then it will reduce the learning curve. Thanks a lot! [[alternative HTML version deleted]]

...people might not have the time to run your simulation etc. etc.. As I told you privately in response to your message on 18/1, > Re: generating correlated effects, I tried this only once, but I > didn't get it right. Simulations using this are, e.g., Hansen (2007) > http://faculty.chicagobooth.edu/christian.hansen/research/panel_cov_t. > pdf > and Drukker (2003) > http://ideas.repec.org/a/tsj/stataj/v3y2003i2p168-177.html > I suggest you take inspiration from what they did. so the references are here for the possible benefit (?) of the list too. In the meantime I looked at y...

Dear R-Help Group: R will not start on my imac running 10.6.2. I installed both R2.10.1 and 2.10.0 from pkg. It crashed on both. I tried both the R and R64 apps and both versions 2.10.1 and 2.10.0. I googled and found nothing on this. Below is part of report: Process: R [767] Path: /Applications/R64.app/Contents/MacOS/R Identifier: org.R-project.R Version: R