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2011 Oct 19
1
ar() - AIC and BIC
...#39;m slowly working through Tsay's "Analysis of Financial Time Series"
3rd ed. ?I'm trying to replicate Table 2.1 on p.47, which gives PACF,
AIC, and BIC for the monthly simple returns of the CRSP value-weighted
index.
The data:
http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt
> da <- read.table("http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt", header = TRUE)
> vw <- da[, 3]
I can replicate the PACF calculations.
> x <- pacf(vw)
> x
Partial autocorrelations of series ?vw?, by lag
? ? 1 ? ? ?2 ?...
2010 Aug 12
2
How to building my own datafile
Hi folks,
I'm prepared building my own datafiles, simple file at start, for testing
wondering how to process? Which software will be used,
MySQL/MS-SQL/MS-Excel/Open Office-Calc etc?
On searching I found r-cran-rmysql on Ubuntu repo.
Further searching I found;
RMySQL: R interface to the MySQL database
http://cran.r-project.org/web/packages/RMySQL/index.html
Whether install the above
2010 Mar 10
0
RSQLite 0.8-4 now on CRAN
...shes when performing
many prepared queries.
- There is now a fairly comprehensive example of using prepared
queries in the man page for dbSendQuery-methods.
- Upgrade to SQLite 3.6.21 => 3.6.22 (minor bug fixes).
- Enable full-text search module by default. See
http://www.sqlite.org/fts3.html for details on this SQLite
module.
- Add support for prepared queries that involve a SELECT. This was
previously unsupported. SELECT queries can now be used with
dbSendPreparedQuery. The return value is the same as rbind'ing the
results of the individual queries. This mean...
2010 Mar 10
0
RSQLite 0.8-4 now on CRAN
...shes when performing
many prepared queries.
- There is now a fairly comprehensive example of using prepared
queries in the man page for dbSendQuery-methods.
- Upgrade to SQLite 3.6.21 => 3.6.22 (minor bug fixes).
- Enable full-text search module by default. See
http://www.sqlite.org/fts3.html for details on this SQLite
module.
- Add support for prepared queries that involve a SELECT. This was
previously unsupported. SELECT queries can now be used with
dbSendPreparedQuery. The return value is the same as rbind'ing the
results of the individual queries. This mean...