search for: doornik

Dear All, I am a long time S user and now a convert to R. As part of my general work in time series I occasionally assist groups of econometricians and others in the finance fraternity. In particular, that community has invested a large amount of time and effort in writing specialised code in Gauss. I am unfamiliar with Gauss (although I have used Matlab which is, I understand, a comparable

...ctions part of the fSeries package work please follow the following steps. ------------------------------------------------- 1. Install R-project. 2. Install fSeries. 3. Download: http://www.core.ucl.ac.be/~laurent/G@RCH/site/xbdcons/garch42.zip (G@RCH package for Ox) 4. Download: http://www.doornik.com/download/b736gw/oxcons.html (Ox console) 5. Install Ox console to directory "c:\ox" 6. Copy: R-2.5.0\library\fSeries\ox\GarchOxModelling.ox c:\ox\ox\lib\GarchOxModelling.ox 7. Load R-Project 8. Run: library(fSeries) data(dem2gbp) x = dem2gbp[, 1] garchOxFit(~garch(1,1),x) ---------...

...ll be even more tangent. Those interested in Ox, see http://www.de.ufpe.br/~cribari/ox.pdf Cheers, Francisco. Date: Fri, 6 Apr 2001 09:34:19 +0100 (BST) From: Bill Simpson <wsi at gcal.ac.uk> Subject: Re: [R] Using Gauss with R This is a tangent to your question. The economist Jurgen Doornik has written a language called Ox: http://www.nuff.ox.ac.uk/Users/Doornik/doc/ox/ox.htm It obviously caters to econometricians. The unix version is free. I did use it at one time before R was really rolling. I used it for MLE because I think at that time there was no nlm() routine in R yet! Ox see...

...parison between R and Ox. Econometrically, Francisco Date: Wed, 2 May 2001 09:35:07 +0100 From: David Firth <david.firth at nuffield.oxford.ac.uk> Subject: [R] R and Ox? Is there a good way to organize co-operation between R and Ox? (incidentally, Ox is at http://www.nuff.ox.ac.uk/Users/Doornik/) -- David Firth Phone +44 1865 278544 Nuffield College Fax +44 1865 278621 Oxford OX1 1NF Secretary +44 1865 278553 United Kingdom Email david.firth at nuffield.ox.ac.uk _________________________________________...

Hi All, Currently I'm working in FIGARCH process [Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity]. I've already got the codes to do the process in S-Plus. Can anyone help me to do it in R? Thanks, SUMANTA BASAK. ------------------------------------------------------------------------------------------------------------------- This e-mail may

I have compiled a package in R which performs the Doornik-Hansen (1994) version of the omnibus normality test (a finite sample version of the Jarque-Bera test), including a variation which allows for weak dependence rather than independence of the variable(s) in question. I have tried to contact the compiler of the "nortest" package (which deals...

Dear List, I'm now using Ubuntu 10.10 and I want to use the garchoxfit function.It seems that I need to download the package. While after installing the package,I still can't use the garchoxfit function.What's the reason and how to fix that? Thanks for your time! Best, Ning

This is some kind of follow-up to my previous posts. I have further improved the speed of my program 6 times by eliminating all the apply(). It turns out that apply is slow, is slower than direct loop, it is an order slower than a matrix operation alternative. Here is one example. The first apply version runs 19 seconds, the second loop version runs 13 seconds, the third matrix version runs 1

...about sampling one million draws from a 4 dimensional normal distribution and estimate the variance of the normal distribution. Both R and OX programs are at the end of this post. For this problem, OX is 168 times as fast as R. Hard to believe! OX: took 8" Ox version 2.20 (Windows) (C) J.A. Doornik, 1994-2000 This version may be used for academic research and teac 22:31:07 0.99700 -0.00069643 -0.00077984 0.00091080 -0.00069643 1.0020 0.00048600 0.00079022 -0.00077984 0.00048600 0.99935 -0.00064050 0.00091080 0.00079022 -0.00064050 1.0003 22:31:15 R...

CRAN (and crantastic) updates this week New packages ------------ * allan (1.0) Alan Lee http://crantastic.org/packages/allan Automates Large Linear Analysis Model Fitting * andrews (1.0) Jaroslav Myslivec http://crantastic.org/packages/andrews Andrews curves for visualization of multidimensional data * anesrake (0.3) Josh Pasek http://crantastic.org/packages/anesrake This