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Hi, Could someone please tell me the R codes for fitting VAR(p) (Vector Auto Regressive) models and doing the Johansen?s cointegration tests. TIA Aditya

Hi, Please tell me the R codes for Engle Granger Test of cointegration. TIA Aditya

Hi, Can we run EGARCH in R. If yes, I would be grateful if someone could tell me the R codes for running EGARCH model. Thanks. [[alternative HTML version deleted]]

Hi, I want to fit a regression model with one independent variable. The error part should be fitted an ARMA process. For example, y_t = a + b*x_t + e_t where e_t is modelled as an ARMA process. Please let me know how do I do this in R. What code should I use? TIA Aditya [[alternative HTML version deleted]]

Hi, While doing the adf test using ur.df ?price.df2=ur.df(y=log(price),type = "drift", selectlags="AIC") summary(price.df2)? It gives two values for ?value of test statistic is: -1.5992?? 2.32? one value is the t-test (or t-ratio), what is the other one? Please help. TIA Aditya

Hi, I want to fit a mean and variance model jointly. For example I might want to fit an AR(2)-GARCH(1,1) model i.e. r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t where a_t = sigma_t*epsilon_t where sigma^2_t = constant_term2 + p*sigma^2_t-1 + q*a^2_t-1 i.e. R estimates a constant_term1, b, c, constant_term2, p, q TIA Aditya

...n, 23 Aug 2010 14:35:50 +0300 Subject: Re: [R] Fitting a GARCH model in R Hello You can find functions related to GARCH by searching on Rseek.org or by running in R: install.packages('sos', dep=T) require(sos) findFn('garch') Regards Liviu On Mon, Aug 23, 2010 at 5:59 AM, Aditya Damani wrote: > Hi, > > I want to fit a mean and variance model jointly. > > For example I might want to fit an AR(2)-GARCH(1,1) model i.e. > > r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t > > where a_t = sigma_t*epsilon_t > > where sigma^2_t = constant_term2 + p*sigma^...

Hi, I wanted to know that in the “McLeod.Li.test” P-value graph, at what level is the dotted line drawn? Also can it be changed? Thanks. [[alternative HTML version deleted]]