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rdata
2002 Sep 30
0
using step function in functions
...hould work with any numeric
variables
and specified number of lags.
Thanks in advance,
Barry Feldman
Barry Feldman (p) 312-616-9213
Ibbotson Associates (f) 312-616-0404
225 North Michigan Ave.
Chicago, IL 60601 U.S.A.
# Vector Auto Regression
VAR <- function(rData0,lagz) {
# build regression datasets
rData<-na.omit(rData0)
dimz<-dim(rData)
depDat<-rData[(lagz+1):dimz[1],]
print((dim(depDat))[1])
for (i in 1:lagz) {
cDat<-rData[(lagz-i+1):(dimz[1]-i),]
for (j in 1:dimz[2]) {
names(cDat)[j]<-paste(nam...