Displaying 8 results from an estimated 8 matches for "palhoto".
2003 Dec 06
3
Axe time of series in format yy-mm-dd
I'm trying to plot a ibm stock time series.
I made the download of that series,
ibm <- get.hist.quote(instrument = "ibm", start = "2003-01-01",quote=c("CL"))
And ibm is a serie wiht this characteristic:
Start = 37623
End = 37960
Frequency = 1
When I try to plot it,
ts.plot(ibm)
In the graphic the axe time is represented by 37623 ... 37960, How can I put
2004 Feb 03
2
How to build a AR(q)-GARCH(q) process ?
Hello all,
I would like how to modelized a time serie with AR-ARCH process.
It can be used arma and garch functions in tseries package for build
ar process or a garch process, but how can it be modelized a ar-garch
model ?
Thanks
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2004 Jan 22
2
help repeated measures factoial design
Dear All,
A few weeks ago I posted a question to this list but unfortunately got no
answer! A friend warned me of my english.
Again, the problem is:
A 2-level 5-factors completely randomized design was used to investigate the
potential effects of those factors on a solution's characters (several response
variables).
Each response-variable was measured repeatedly (13 times) during a
2003 Nov 27
2
would like to know how to simulated a GARCH(1,2)
Follow the example in tseries, we can simulated a GARCH(0,2),
n <- 1100
a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients
e <- rnorm(n)
x <- double(n)
x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
for(i in 3:n) # Generate ARCH(2) process
{
x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
}
x <- ts(x[101:1100])
and x is a GARCH(0,2).
But, I would like to know how
2004 Jan 13
3
How can I test if a not independently and not identically distributed time series residuals' are uncorrelated ?
I'm analizing the Argentina stock market (merv)
I download the data from yahoo
library(tseries)
Argentina <- get.hist.quote(instrument="^MERV","1996-10-08","2003-11-03", quote="Close")
merv <- na.remove(log(Argentina))
I made the Augmented Dickey-Fuller test to analyse
if merv have unit root:
adf.test(merv,k=13)
Dickey-Fuller = -1.4645,
2003 Nov 26
3
Correlation test in time series
I would like to know if there is a way to test no correlaction
in time series ?
cov(r_t, r_t-1)=0
And r_t are homoscedastik and independent.
Thanks
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2004 Jan 14
0
How can I test if a not independently and not identicallydistributed time series residuals' are uncorrelated ?
I'm analizing the Argentina stock market (merv)
I download the data from yahoo
library(tseries)
Argentina <- get.hist.quote(instrument="^MERV","1996-10-08","2003-11-03", quote="Close")
merv <- na.remove(log(Argentina))
I made the Augmented Dickey-Fuller test to analyse
if merv have unit root:
adf.test(merv,k=13)
Dickey-Fuller = -1.4645,
2004 Jan 14
3
How can I test if time series residuals' are uncorrelated ?
Ok I made Jarque-Bera test to the residuals (merv.reg$residual)
library(tseries)
jarque.bera.test(merv.reg$residual)
X-squared = 1772.369, df = 2, p-value = < 2.2e-16
And I reject the null hypotesis (H0: merv.reg$residual are normally
distributed)
So I know that:
1 - merv.reg$residual aren't independently distributed (Box-Ljung test)
2 - merv.reg$residual aren't indentically