Displaying 5 results from an estimated 5 matches for "errorterm".
2009 Mar 09
2
mean reverting model
dear useRs,
i'm working with a mean reverting model of the following specification:
y = mu + beta(x - mu) + errorterm, where mu is a constant
currently I estimate just y = x (with lm()) to get beta and then
calculate mu = estimated intercept / (1-beta).
but I'd like to estimate mu and beta together in one regression-step
and also get the test-statistics (including parameter variance) for mu
as well as...
2004 Jan 30
0
Two apparent bugs in aov(y~ *** -1 + Error(***)), with suggested (PR#6510)
...asts can be helpful: do we want to force them?
## this version does for the Error model.
opcons <- options("contrasts")
options(contrasts=c("contr.helmert", "contr.poly"))
on.exit(options(opcons))
allTerms <- Terms
errorterm <- attr(Terms, "variables")[[1 + indError]]
eTerm <- deparse(errorterm[[2]], width = 500, backtick = TRUE)
intercept <- attr(Terms, "intercept")
ecall <- lmcall
ecall$formula <-
as.formula(paste(deparse(formula[[2]], wi...
2004 Feb 02
0
Two apparent bugs in aov(y~ *** -1 + Error(***)), with (PR#6520)
...t to force them?
> ## this version does for the Error model.
> opcons <- options("contrasts")
> options(contrasts=c("contr.helmert", "contr.poly"))
> on.exit(options(opcons))
> allTerms <- Terms
> errorterm <- attr(Terms, "variables")[[1 + indError]]
> eTerm <- deparse(errorterm[[2]], width = 500, backtick = TRUE)
> intercept <- attr(Terms, "intercept")
> ecall <- lmcall
> ecall$formula <-
> as.formula(paste...
2012 Jun 06
1
ARCH modelling/MA process
...cribed as follows:
Ri=alpha(arch)+beta(arch)*Rm,i+et
et=thetat*sqrt(h)
h=lamda(0)+lamda(1)*e(t-1)^2 ##e are the residuals of the ols regression
Thus my question is now: How can I regress this?
Ri=alpha(arch)+beta(arch)*Rm,i+thetat*sqrt(h) ## This seems not to work as
it calculates an additional errorterm. Also the parameter theta changes over
time. Thus the problem is on how I should estimate this one.... I hope there
is a solution for this problem or some hints on how I can use the output of
the garch model for my linear regression and the estimation of new alphas
and beta (with consideration of A...
2001 Dec 17
1
environments again
In a previous message I was not clear enough in my querry.
I have the following program:
tst<- function() {
x <- c(32.7,32.3,31.5,32.1,29.7,29.1,35.7,35.9,33.1,
36.0,34.2,31.2,31.8,28.0,29.2,38.2,37.8,31.9,
32.5,31.1,29.7)
g <- rep(1:7,rep(3,7))
s <- rep(1:3,7)
cat(" Only x and g \n")
aov1(x,g)
cat("\n\n Now x, g and s \n")
aov1(x,g,s=s)
}