Displaying 2 results from an estimated 2 matches for "fedfund".
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fedfunds
2011 Aug 26
0
out of sample predictions using a probit model
...predictions out of
sample data. I'm using the predict function but getting errors. Here is my
code:
#predict a recession 12 months out
#k=12 means 12 months forward
#dates must be trimmed manually
recession.probModel <- glm(formula =
window(lag(recession.TS,k=12),start=c(1986,2)) ~
window(FEDFUNDS.TS,start=c(1986,2),end=c(2010,7))
+ window(sp500Ret.TS,end=c(2010,7))+
window(CurveSlope.TS,start=c(1986,2),end=c(2010,7))
+ window(CreditSpread.TS,start=c(1986,2),end=c(2010,7)) +
window(NAPM.TS,start=c(1986,2),end=c(2010,7))
+ window(MCOILWTI.TS,start=c(1986,2),end=c(2010,7))
, family=binomial...
2012 Jul 07
1
Getting objects from quantmod ticker list
Hi all,
I would need to put datas downloaded with quantmod into a matrix or a data
frame.
Suppose to start from here:
*require(quantmod)
ticker.list <- c('AAA', 'ALTSALES', 'AMBNS', 'AMBSL', 'BAA', 'EMRATIO',
'FEDFUNDS', 'GASPRICE', 'GS1', 'GS10', 'GS20', 'LNS14100000', 'MORTG',
'NAPM', 'NPPTTL', 'OILPRICE', 'PAYEMS', 'TB3MS', 'UNRATE')
series <- getSymbols(ticker.list, src= 'FRED')*
May you tell me h...