Displaying 2 results from an estimated 2 matches for "estimhar".
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estimar
2012 Jul 19
1
Change log(J) to log(J+1) to stop log(0) from occurring in harModel
...) }
###############################
# Estimate the model parameters, according to type of model :
# First model type: traditional HAR-RV:
if( type == "HARRV" ){
if(!is.null(transform)){ y = Ftransform(y); x1 = Ftransform(x1) }
x1 = cbind(x1,rmin);
model = estimhar(y=y,x=x1);
model$transform = transform; model$h = h; model$type = "HARRV";
model$dates = alldates[(maxp+h):n];
class(model) = c("harModel","lm");
return( model )
} #End HAR-RV if cond
if( type == "HARRVJ" ){
J = J[(maxp:(n-h))...
2012 Jul 19
1
Switching log(J) to log(J+1) to avoid log(0) in HAR-RVJ model
...ves unrealistic regression output such as values over 3:
if( type == "HARRVJ" ){
J = J[(maxp:(n-h)),];
*x = cbind(x1,J);* # bind jumps to RV data
if(!is.null(transform)){ y = Ftransform(y); x = Ftransform(x); }
x = cbind(x,rmin);
model = estimhar(y=y,x=x);
model$transform = transform; model$h = h; model$type = "HARRVJ";
model$dates = alldates[(maxp+h):n];
class(model) = c("harModel","lm");
return( model )
}#End HAR-RV-J if cond
to
if( type == "HARRVJ" ){
J = J[(maxp:...