Displaying 1 result from an estimated 1 matches for "ibm3dx2608".
2011 Oct 19
1
ar() - AIC and BIC
...lowly 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 ? ? ?3 ? ? ?4 ?...