search for: econometrica

I am searching for an R version of the code written in GAUSS by Bruce Hansen for his paper on Econometrica, 2000, "Sample Splitting and Threshold Estimation". Someone can help me? Davide -- Davide Fiaschi Dipartimento di Scienze Economiche University of Pisa Via Ridolfi 10 56100 Pisa (PI) Italy Phone/Fax: ++39.050.2216208/++39.050.598040 E-mail: dfiaschi at ec.unipi.it Homepage: http://www-...

Dear all, Last autumn there was some discussion on the list of the warning Warning message: fitted probabilities numerically 0 or 1 occurred in: (if (is.empty.model(mt)) glm.fit.null else glm.fit)(x = X, y = Y, when fitting binomial GLMs with many 0 and few 1. Parts of replies: "You should be able to tell which coefficients are infinite -- the coefficients and their standard errors will

...eak test in Andrews (2003). The excellent strucchange package does not include this test (yet?). Is this test available in another package? If not, might there already be a function written to do this test? Thank you very much. Citation: Andrews, D.W.K. (2003), End-of-Sample Instability Tests. Econometrica, 71: 1661–1694. [[alternative HTML version deleted]]

...ordinate of the sample value to give P(data|model) and using those values (and a discrete uniform prior on the model-space) to calculate Bayes Factors. Is there any pre-existing package which performs this test in R? Halbert White, "Maximum Likelihood Estimation of Misspecified Models," Econometrica Vol. 50, No. 1, (Jan., 1982) pp.1-26 Tony Lancaster, "The Covariance Matrix of the Information Matrix Test," Econometrica, Vol 52, No.4, (July, 1984), pp.1051-1054 I would be grateful for any suggestions. Many Thanks. Charles Annis, P.E. Charles.Annis at StatisticalEngineering.com ph...

Dear All, I would like to know if the Voung test (Voung; Econometrica, 1989) to compare two non-nested regression models has been implemented in R. Thanks in advance for your assistance, mirko [[alternative HTML version deleted]]

Dear all, S+Finmetrics has a number of very specilised functions. I am particularly interested in the estimation of cointegrated VARs (chapter 12 of Zivot and Wang). In this context the functions coint() and VECM() stand out. I looked at package "dse1", but found no comparable functionality. Are there any other packages you could point me to? In general, are there efforts for

...se, and W. Dent (1983), "Comparing Alternative Tests of Causality in Temporal Systems: Analytic Results and Experimental Evidence." Journal of Econometrics, 83, 161-194. Granger, C.W.J. (1969), "Investigating Causal Relations by Econometric Methods and Cross-Spectral Methods," Econometrica, 34, 424-438. Sims, C. (1972), "Money, Income and Causality," American Economic Review, 62, 540-552. Chris Elsaesser, PhD 703.637.9421 (o) Principal Geospatial Scientist 703.371.7301 (m) SPADAC Inc. 7921 Jones Branch Dr. Suite 600 McLean, VA 22102

...ay to do this. Is this 2009 page the best reference? http://cran.r-project.org/web/views/Graphics.html Thanks. Specific case of interest is below, I found rgl to be quite useful in regards to this, http://r.789695.n4.nabble.com/maximum-likelihood-convergence-reproducing-Anderson-Blundell-1982-Econometrica-R-vs-Stata-td3502516.html#a3512807 I generated some data points using this script ( which itself uses this data file http://98.129.232.234/temp/share/em.txt ) http://98.129.232.234/temp/share/em.R.txt After some editing with sed, the output of the above script made this data file showing some o...

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

Hi, I have two sets of data that I would like to put into a data frame. But since they have different length, I am not sure how to do this. Here is an example of my data: data set one: date growth 1/1/2007 10 1/2/2007 10.2 1/3/2007 10.4 1/4/2007 10.6 data set two: date growth 1/1/2007 22 1/2/2007 22.5 1/4/2007 22.4 I would like to combine the two data sets and

Dear Sir/Madam, I found your email address and your correspondence with R-users. I hope you could help me with this question about the function "ur.ers" in the package of "urca". It is an improved unit root test (Elliott et al. 1996 Econometrica). Do you know how to extract the value of the test statistic from the output? The only thing I can get is the print-out of all results including the test statistic. But I am wondering whether the value is saved somewhere, like g$coef will give you the estimated coefficient, where g is a linear mode...

Hi I have data for voting behaviour on two (related) binary votes. I want to examine the second vote, running separate regressions for groups who voted different ways on the first vote. As the votes are not independent, I guess that there is an issue with selection bias. So, I think I would like to fit a heckit style model but with a binary dependent variable - so, in effect, two successive

...llo! I would like to ask if there is in R a function that estimates the spectral density function of a stochastic series at frequency zero by the "plug-in method", advocated by Andrews in his paper "Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, 59,817-858. I saw R has functions that employ Andrews' plug-in method using an AR(1) approximation for the estimation of the variance-covariance matrix in linear models. They come with the sandwich package. The so called "meat" is actually the estimate of the spectral density matrix...

...e kernel regression estimates. I can construct it myself, but I thought I'd ask around before doing so. Best, Stephan [1] Horowitz Joel L. and Spokoiny Vladimir G. (2001): "An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative". Econometrica, Vol. 69, No. 3 (May, 2001), pp. 599-631 -- ----------------------- Stephan Lindner University of Michigan

I'm taking the residual-regression approach to semiparametric estimation (Robinson 1988, Econometrica), and basically using SemiPar simply as a convenient means of doing multivariate nonparamteric additive models. The final bit of code is here: finalfit <- spm(res~f(V3,basis="trunc.poly")+f(V5,basis="trunc.poly")+f(V6,basis="trunc.poly")) summary(finalfit) par(m...

Hi, I'm using the ineq package to calculate some concentration measures (Gini, Herfindal, ...) and I was wondering if there's around also a function to calculate standard error on these measures. If not, is anybody aware of where I can find a reference on this point? Thanks. -- ======================================================== Angelo Secchi PGP Key ID:EA280337

Has anyone written utilities to do rescaled range analysis in R? Jeff -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch

...eneral Public License (GPL) as published by the Free Software Foundation. * * * Easy intuitive interface (now in French, Italian and Spanish as well as English) or if you prefer http://gretl.sourceforge.net/gretl_italiano.html [GRETL] è un pacchetto software multi-piattaforma per l'analisi econometrica, scritto in linguaggio C. È software libero: è possibile redistribuirlo e/o modificarlo secondo i termini della Licenza Pubblica Generica GNU (GPL) pubblicata dalla Free Software Foundation. GRETL and GNU R http://gretl.sourceforge.net/gretl_and_R.html >From gretl, you can save the current d...

Dear R-"helpers"! May I kindly ask the pure statistics-experts to help me for a purpose which first part is not directly concerned with R. Consider two distribution functions, say f and g. For both, the median is smaller than a half. Now, the multiplicative or additive linkage of both distribution leads to a new distribution function, say h, whereas the median of h is greater than a

Rers: I have some ecological data (stream velocity vs. % cover of submerged weeds) that shows strong evidence of a thresholding step-function, e.g. below some velocity, % cover ranges from 0% to 100% (with no apparent relationship to velocity within this range of velocities), but above a certain "threshold" velocity, the % cover does not appear to exceed, say, 10%. There are good