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...LC_MONETARY=German_Germany.1252 LC_NUMERIC=C [5] LC_TIME=German_Germany.1252 attached base packages: [1] stats graphics datasets grDevices utils methods base other attached packages: [1] fortunes_1.4-1 Dr. Bernhard Pfaff Director Global Asset Allocation Invesco Asset Management Deutschland GmbH An der Welle 5 D-60322 Frankfurt am Main Tel: +49 (0)69 29807 230 Fax: +49 (0)69 29807 178 www.institutional.invesco.com Email: bernhard_pfaff at fra.invesco.com Gesch?ftsf?hrer: Karl Georg Bayer, Bernhard Langer, Dr. Jens Langewand, Alexander Lehmann, Christian...

...Classes(Goestml, GoGARCH, Goinit, Orthom) ## Methods exportMethods(angles, cvar, ccor, ccov, coef, converged, goest, logLik, M, print, show, t, residuals) ## Functions export(gogarch, goinit, gollh, gotheta, Rd2, UprodR, unvech, validOrthomObject, validGoinitObject) Dr. Bernhard Pfaff Director Invesco Quantitative Strategies International Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49 (0)69 29807 230 Fax: +49 (0)69 29807 178 www.institutional.invesco.com Email: bernhard_pfaff at fra.invesco.com Gesch?ftsf?hrer: Karl Georg Bayer, Bernhard Lange...

...month 12 day 22 svn rev 47281 language R version.string R version 2.8.1 (2008-12-22) Dr. Bernhard Pfaff Director Global Quantitative Equity Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49 (0)69 29807 230 Fax: +49 (0)69 29807 178 www.institutional.invesco.com Email: bernhard_pfaff at fra.invesco.com Gesch?ftsf?hrer: Karl Georg Bayer, Bernhard Langer, Dr. Jens Langewand, Alexander Lehmann, Chris...

...TARY=German_Germany.1252 LC_NUMERIC=C [5] LC_TIME=German_Germany.1252 attached base packages: [1] stats graphics datasets utils grDevices methods base other attached packages: [1] fortunes_1.3-6 > Dr. Bernhard Pfaff Director Global Quantitative Equity Invesco Asset Management Deutschland GmbH An der Welle 5 D-60322 Frankfurt am Main Tel: +49 (0)69 29807 230 Fax: +49 (0)69 29807 178 www.institutional.invesco.com Email: bernhard_pfaff at fra.invesco.com Gesch?ftsf?hrer: Karl Georg Bayer, Bernhard Langer, Dr. Jens Langewand, Alexander Lehmann, Christian...

...e such that the warning does not appear any longer. I am adressing this question to R-devel, because this might also be of interest for other package mainatiners. Many thanks in advance for any hints and pointers. Regards, Bernhard Dr. Bernhard Pfaff Global Structured Products Group (Europe) Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49(0)69 298 07230 Fax: +49(0)69 298 07178 Email: bernhard_pfaff at fra.invesco.com ***************************************************************** Confidentiality Note: The information contained in this mess.....

...e such that the warning does not appear any longer. I am adressing this question to R-devel, because this might also be of interest for other package mainatiners. Many thanks in advance for any hints and pointers. Regards, Bernhard Dr. Bernhard Pfaff Global Structured Products Group (Europe) Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49(0)69 298 07230 Fax: +49(0)69 298 07178 Email: bernhard_pfaff at fra.invesco.com ***************************************************************** Confidentiality Note: The information contained in this mess.....

...ion. In case somebody has the latest binary zip-file for Windows, would she/he mind to send it directly to my emaim adress stated in the signature? Many thanks, and sorry for bothering/misusing R-help in this instance. Best, Bernhard Dr. Bernhard Pfaff Global Structured Products Group (Europe) Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49(0)69 29807 230 Fax: +49(0)69 29807 178 Email: bernhard_pfaff at fra.invesco.com ***************************************************************** Confidentiality Note: The information contained in this mess.....

Folks, What is the best way to simulate values from a fitted "VAR {vars}" model. Also I have tried to use SVAR for a cointegration fit of y~x (just two univariate time-series) but I can't figure out how to set up the "A" matrix so that x_t can be used as a contemporaneous predictor of y_t. Thanks much for your time, KW -- [[alternative HTML version deleted]]

Hello all, I would like to carry out a single-equation approach of the Error Correction Model such as Delta_y(t) = a + b*y(t-1) + c*x1(t-1) + d*x2(t-1) + e*delta_x1(t) + f*delta_x2(t) + epsilon(t) Where, a, b, c, d, e, f are coefficients to be estimated, y is the dependent variable, and x1, x2 are independent variables. For the single equation approach of ECM, there is a requirement of the

Hello! I'm using the blrtest() function in the urca package to test cointegration relationships. Unfortunately, the hypothesis (restrictions on beta) specifies the same restriction on all cointegration vectors. Is there any possibility to specify different restrictions on the cointegration vectors? Are there any other packages in R using cointegration tests? Thanks and best regards. Dennis

...d be noted, that this package is still in its infancy, and more features and functionalities are in the pipeline. Hence, I would appreciate your feedback -- off list, adressed to the email adress in the DESCRIPTION file. Best, Bernhard Dr. Bernhard Pfaff Global Structured Products Group (Europe) Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49(0)69 29807 230 Fax: +49(0)69 29807 178 Email: bernhard_pfaff at fra.invesco.com ***************************************************************** Confidentiality Note: The information contained in this mess.....

...t (unstable) major 2 minor 5.0 year 2006 month 10 day 10 svn rev 39600 language R version.string R version 2.5.0 Under development (unstable) (2006-10-10 r39600) > Dr. Bernhard Pfaff Global Structured Products Group (Europe) Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49(0)69 29807 230 Fax: +49(0)69 29807 178 Email: bernhard_pfaff at fra.invesco.com ***************************************************************** Confidentiality Note: The information contained in this mess.....

Dear R - helpers, I am using the urca package to estimate cointegration relations, and I would be really grateful if somebody could help me with this questions: After estimating the unrestriced VAR with "ca.jo" I would like to impose the rank restriction (for example rank = 1) and then obtain the restricted estimate of PI to be utilized to estimate the VECM model. Is it possible? It

> On 13 Jul 2017, at 12:55, Pfaff, Bernhard Dr. <Bernhard_Pfaff at fra.invesco.com> wrote: > > Who was speaking about non-linear models in the first place??? > The Klein-Model(s) and pretty much all simultaneous equation models encountered in macro-econometrics are linear That's really not true. Klein model is linear but Oseibonsu did not say that explicitly...

...ges RDCOMClient and SWinTypeLibs and try to import a COM object (created in Delphi) in R that is of type 'early binding' instead of late 'late binding'. Is there a possibility to do this in R? Currently, the following returns an error message: l1 = LoadTypeLib("c:\\Programme\\INVESCO\\QaCalendar\\Calendar.dll") print(getTypeLibTypes(l1)) IQaCalPeriodicInit QaCalPeriodic IQaSeriesInit "dispatch" "coclass" "dispatch" QaSeries _QaSerLib...

...month 04 day 23 svn rev 41293 language R version.string R version 2.5.0 (2007-04-23) Dr. Bernhard Pfaff Global Structured Products Group (Europe) Senior Analyst Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49(0)69 29807 230 Fax: +49(0)69 29807 178 Email: bernhard_pfaff at fra.invesco.com Gesch?ftsf?hrer: Karl Georg Bayer, Bernhard Langer, Alexander Lehmann, Christian Puschmann Handelsregister: Frankfurt am Main, H...

Dear list-subscriber, in the process of writing a general code snippet to extract coefficients in an expression (in the example below: 0.5 and -0.7), I stumbled over the following peculiar (at least peculiar to me:-) ) sorting behaviour of the function all.names(): > expr1 <- expression(x3 = 0.5 * x1 - 0.7 * x2) > all.names(expr1) [1] "-" "*" "x1"

...itten as y[..] <- lefthandside - (righthandside) You can then include identities naturally. You would have to make the model dynamic but that shouldn't be too difficult using vector indexing. Berend Hasselman > On 13 Jul 2017, at 10:06, Pfaff, Bernhard Dr. <Bernhard_Pfaff at fra.invesco.com> wrote: > > Hi Frances, > > I have not touched the system.fit package for quite some time, but to solve your problem the following two pointers might be helpful: > > 1) Recast your model in the revised form, i.e., include your identity directly into your reaction functio...

...itten as y[..] <- lefthandside - (righthandside) You can then include identities naturally. You would have to make the model dynamic but that shouldn't be too difficult using vector indexing. Berend Hasselman > On 13 Jul 2017, at 10:06, Pfaff, Bernhard Dr. <Bernhard_Pfaff at fra.invesco.com> wrote: > > Hi Frances, > > I have not touched the system.fit package for quite some time, but to solve your problem the following two pointers might be helpful: > > 1) Recast your model in the revised form, i.e., include your identity directly into your reaction functio...

Dear All: stepping in late, but @Joris, if you would like to take 'from a single file' literally, have a look at: https://github.com/bpfaff/lp4rp (lp4rp: literate programming for R packages); Cheers, Bernhard ps: incidentally, within the noweb-file roxygen is employed. -----Urspr?ngliche Nachricht----- Von: R-devel [mailto:r-devel-bounces at r-project.org] Im Auftrag von Joris