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2012 Aug 27
2
Assigning colors on low p-values in table
...a
matrix and thereafter plotted as a matrix. Therefore this problem
could also be solved if the values that are larger than 0.05 in the vector
?adf.pvalue? are saved as colored values.
After the values are stored in the vectors, adf.tvalue, adf.pvalue,
adf.tvalue1, adf.pvalue1, adf.tvalue2 and adf.pvalue2, the code looks like
this:
>output<-matrix(c(col.names,adf.tvalue,adf.pvalue,adf.tvalue1,adf.pvalue1,adf.tvalue2,adf.pvalue2),ncol=7)
>colnames(output)<-c("Assets","ADF-Level","P-Value","ADF-First
D","P-Value","ADF-Second D",...
2006 Aug 31
0
Moving Window regressions with corrections for Heteroscedasticity and Autocorrelations(HAC)
...st? package using library (lmtest).
#STEP 2: Copy and paste the function defined above into the console and submit it.
# The function returns a matrix with T rows (You will find ?NA ?values on all rows less than width.)
#The columns are organized as : beta1 se1 tstat1 pvalue1 beta2 se2 tstat2 pvalue2
# i.e. we have each coefficient followed by its s,e., t-stat and p-value. Note that K is the no of #variables in the regression.
#STEP3: Get the results using
> r= movingWindowRegression(CAPM, 240, 60,Y~X1+X2,3)
# Here CAPM is the data set, T=240 monthly data, K =60 as we want to find the...