search for: econometricians

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 product) and I would be grateful for any help you mi...

There has been a few questions on the subject lately. Is there any book on the subject, if possible with a computer processing flavor, that you would highly recommend? Many thanks in advance, -- Jean-Luc

Dear List, I am using the output of a ML estimation on a random effects model with first-order autocorrelation to make a further conditional test. My model is much like this (which reproduces the method on the famous Grunfeld data, for the econometricians out there it is Table 5.2 in Baltagi): library(Ecdat) library(nlme) data(Grunfeld) mymod<-lme(inv~value+capital,data=Grunfeld,random=~1|firm,correlation=co rAR1(0,~year|firm)) Embarrassing as it may be, I can find the autoregressive parameter ('Phi', if I get it right) in the printout...

Hello, I am learning R and I am fluent in Stata and I try to translate part of my Stata code to R to check the reliability of the data under R. I have a proportion variable as a dependent variable pQSfteHT . Independent variables are dummies for two categorical variables called dQSvacrateHTQuali3 and cluster_3. I am fitting a model with the Stata command below: glm pQSfteHT dQSvacrateHTQuali3_2

Dear listserv members, In Croissant (2008) “Panel Data Econometrics in R: The plm Package” the authors seem to indicate that the nlme package for R cannot correctly handle unbalanced panel data: “Moreover, economic panel datasets often happen to be unbalanced (i.e., they have a different number of observations between groups), which case needs some adaptation to the methods and is not

I am fitting a reduced form VAR model using VAR in the vars library. I have several endogenous variables, and two exogenous variables. I would like to explore the effects of a shock to one of the exogenous variables on one of the endogenous variables. Using irf in the vars library only calculates the irf for the endogenous variables, this is obviously by design, is there some theoretical

Dear R-users, One of the main reasons I moved from GAUSS to R (as an econometrician) was because of the existence of the library LOCFIT for local polynomial regression. While doing some checking between my former `GAUSS code' and my new `R code', I came to realize LOCFIT is not quite doing what I want. I wrote the following example script:

Dear all, Is there a camera rotation for 3d graphics in R. I have seen it in a conference one time and thought it is pretty neat. the presenter was able to rotate the 3d graph with dragging the mouse up down left right. If not in R is there something that is open source that does this. Thank you Jean Eid

thank you, achim. I will try chol2inv. sandwich is a very nice package, but let me make some short suggestions. I am not a good econometrician, so I do not know what prewhitening is, and the vignette did not explain it. "?coeftest" did not work after I loaded the library. automatic bandwidth selection can be a good thing, but is not always. as to my own little function, I like the

...ate: 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 seemed fine though had no graphics. Anyway I am mentioning this in case Ox is similar to Gauss. I know that Ox is C-like, maybe...

> From: Paul Gilbert [mailto:pgilbert at bank-banque-canada.ca] > > John Janmaat wrote: > > > Is there a package available for R which generates output > commonly used > > by econometricians (eg., the Durbin-Watson statistic for serial > > > correlation in regression residuals)? I'm pretty sure most of > the stuff > > is out there in assorted packages, under different names. > > That's a broad subject area, it would be a pretty big package...

I want to run a GEE for a time series of counts. The data are daily respiratory mortality counts and so there aren't any 'clusters' in the longitudinal sense. Neither the gee or geese packages work. The gee one wont run at all and the geese one produces NaNs or just runs indefinitely depending on how long the time series is. Any ideas how to make these work of any other packages that

For "importance" it's probably best to stick with absolute values of coefficients, instead of value of the penalty parameter for which the coefficients changed to non-zero. Friedman skipped a lot of details on his rule ensemble in that talk, due to time constraint. In his implementation he was using his own algorithm, PathSeeker, for which paper and software are available on his

I have just committed some code to the r-devel branch to implement the Rao efficient score test. This is asymptotically equivalent to the LRT, but there is some indication that it might have better properties in smaller samples since it is based more directly on the distribution of the sufficient sums under the null hypothesis (e.g., if you have a divergent fit to the model under the alternative,

Hi, I am currently looking for a program or programmng language easy to learn, easier to operate on.I heva heard about "R", However I understand that "R" is designed especially for statisticians. As an economist, working on applied econometrics, I am not sure if it can meet my needs. Will I be able to reach precise time series or panal data regression results with

...s cat myself. Nels Warnes, Gregory R wrote: > > > From: Paul Gilbert [mailto:pgilbert at bank-banque-canada.ca] > > > > John Janmaat wrote: > > > > > Is there a package available for R which generates output > > commonly used > > > by econometricians (eg., the Durbin-Watson statistic for serial > > > > > correlation in regression residuals)? I'm pretty sure most of > > the stuff > > > is out there in assorted packages, under different names. > > > > That's a broad subject area, it would...

Hi, I think he's talking about how much a statistical estimator is influenced by extreme datapoints, e.g. https://en.m.wikipedia.org/wiki/Robust_statistics#Breakdown_point Olivier -- Olivier Crouzet Assistant Professor @LLING UMR6310 - Universit? de Nantes / CNRS Guest Scientist @UMCG - University Medical Center Groningen / RijksUniversiteit Groningen > Le 19 avr. 2018 ? 11:00,

...portance sampling or as the candidate density in the Metropolis-Hastings algorithm to obtain quantities of interest for the target density itself. We believe that this approach may be applicable in many fields of research and hope that the R package AdMit will be fruitful for many researchers like econometricians or applied statisticians. MODIFICATIONS o change in AdMit.R to deal with convergence problems for simple cases. o the documentation file has been improved (thanks to Achim Zeilis for comments). o a package vignette has been added. o a paper describing the package in detail has been published i...

...portance sampling or as the candidate density in the Metropolis-Hastings algorithm to obtain quantities of interest for the target density itself. We believe that this approach may be applicable in many fields of research and hope that the R package AdMit will be fruitful for many researchers like econometricians or applied statisticians. MODIFICATIONS o change in AdMit.R to deal with convergence problems for simple cases. o the documentation file has been improved (thanks to Achim Zeilis for comments). o a package vignette has been added. o a paper describing the package in detail has been published i...

Hello, does R estimate belief networks to estimate chains of causality. Anyone point me to the right direction, or the most developed library? looking at DEAL>