search for: repec

Hi all I'm using the function bayesx to estimate a simple model, for example: library(R2BayesX) ## generate some data set.seed(111) n <- 200 ## regressor dat <- data.frame(x = runif(n, -3, 3)) ## response dat$y <- with(dat, 1.5 + sin(x) + rnorm(n, sd = 0.6)) ## estimate models with ## bayesx REML and MCMC b1 <- bayesx(y ~ sx(x), method = "REML", data = dat) I want

Hi All R Experts, I met with below mentioned statistics in paper "Stock Index Volatility Forecasting with High Frequency Data" by Eugenie Hol, Siem Jan Koopman http://ideas.repec.org/p/dgr/uvatin/20020068.html I would like to ask that what is "Box-Ljung portmantacau statistic based on N squared autocorrelation" ? Is it same as "Box-Ljung Statistics" of stats package ? Further, please tell me how to compute it ? I have a return series of an Index. Plea...

Hi I found on google that there is an implementation of hot-deck imputation in SAS: http://ideas.repec.org/c/boc/bocode/s366901.html Is there anything similar in R? Many Thanks Eleni Rapsomaniki

Hi, I am trying to find out the scale efficiency and optimal scale of banks by stochastic frontier analysis given the panel data of bank. I am free to choose any model of stochastic frontier analysis. The only approach I know to work with R is to estimate a translog production function by sfa or other related function in frontier package, and then use the Ray 1998 formula to find the scale

I am trying to use the CART in a survival analysis. I have three variables of interest (all 3 ordinal - x, y and z, each of them with 5 categories) from which I want to make smaller groups (just an example 1st category from X variable with the 2nd and 3rd categories from the Y category and 2, 3 and 4 categories from the Z category etc) based on their, let's say, association with mortality. Now

...s which have appeared on this list lately. Sorry for the overlong posting but it might be worth the space. I will refer to the very good Stata tutorial by David Roodman that Ivo himself pointed me to, which gives a nice (and free) theoretical intro as well. Please (the others) find it here: http://repec.org/nasug2006/howtodoxtabond2.cgdev.pdf. As far as textbooks are concerned, Arellano's panel data book (Oxford) is the theoretical reference I would suggest. There have been two separate issues: - syntax (how to get the right model) - small sample behaviour (minimal time dimension to get est...

I am interested in comparing the fit of robust (i.e., S and MM) and non-robust (i.e., OLS) estimators when applied to a particular data set. The paper entitled "A comparison of robust versions of the AIC based on M, S and MM-estimators" (available at: http://ideas.repec.org/p/ner/leuven/urnhdl123456789-274771.html) presents formulas for robust Akaike information criteria (AIC) for the M, S, and MM estimators. Unfortunately, these omit the term {n + n*ln(2*pi)} that is included in the standard AIC formula used by R's AIC function. Would it be appropriate to e...

...the output did not show the values associated with lag numbers. lag numbers is shown in decimals. -- Rashid Ameer View my recent publication at * http://www.emeraldinsight.com/fwd.htm?id=aob&ini=aob&doi=10.1108/17538391211282854 * Details for my works are available directly at http://logec.repec.org/RAS/pam67.htm [[alternative HTML version deleted]]

Hello R users & R friends, I just want to ask you if density() can produce a confidence interval, indicating how "certain" the density() line follows the true frequency distribution based on the sample you feed into density(). I've heard of loess.predict(loess(y ~ x), se=TRUE) which gives you a SE estimate of the smoothed scatterplot - but density() kernel smoothing is not the

Dear R fans ( and wiki fans), I am just writing a draft to introduce confidence intervals of various "effect sizes" to my students. Surely, I'll recommend the package MBESS in R. Currently, it means I have to recommend R's interface at first. As a statistics teacher in a dept of psychology, I often have to reply why not to teach SPSS. Psychologists and their students hate to

...our message on 18/1, > Re: generating correlated effects, I tried this only once, but I > didn't get it right. Simulations using this are, e.g., Hansen (2007) > http://faculty.chicagobooth.edu/christian.hansen/research/panel_cov_t. > pdf > and Drukker (2003) > http://ideas.repec.org/a/tsj/stataj/v3y2003i2p168-177.html > I suggest you take inspiration from what they did. so the references are here for the possible benefit (?) of the list too. In the meantime I looked at your code and it looks more or less OK to me. I would have generated the correlated effects simply as...

...T>20-25 at a minimum but N can be arbitrarily large. The bandwidth of the smoother is your choice, just as in Newey-West, defaults to a reasonable value etc. etc., please see ?vcovSCC. A nice explanation (in a Stata context) in Hoechle (2007) on the Stata journal, also here: http://fmwww.bc.edu/repec/bocode/x/xtscc_paper.pdf I still believe my home-made panel-Newey-West from yesterday would work, but you can use vcovSCC{plm} and get cross-sectional robustness as well! PS a couple of experts on the subject are bc/c-ed, please correct me if I'm wrong. Best, Giovanni -----Messaggio original...

...s which have appeared on this list lately. Sorry for the overlong posting but it might be worth the space. I will refer to the very good Stata tutorial by David Roodman that Ivo himself pointed me to, which gives a nice (and free) theoretical intro as well. Please (the others) find it here: http://repec.org/nasug2006/howtodoxtabond2.cgdev.pdf. As far as textbooks are concerned, Arellano's panel data book (Oxford) is the theoretical reference I would suggest. There have been two separate issues: - syntax (how to get the right model) - small sample behaviour (minimal time dimension to get est...

...e. So, I think I should talk my >>> dream here rather than at wikipedia. If you know it had been a >>> practice rather than an idea, please tell me where to write my >>> teaching interface. >>> >> Some have had similar dreams: >> >> http://ideas.repec.org/p/hum/wpaper/sfb649dp2008-030.html >> http://www.r-project.org/user-2006/Slides/Klinke.pdf >> >> http://www.r-project.org/user-2006/Abstracts/Klinke+Schmerbach+Troitschanskaia.pdf >> >> HTH, >> Tobias >> >> >> LI, Xiaoxu >>> School...

...T>20-25 at a minimum but N can be arbitrarily large. The bandwidth of the smoother is your choice, just as in Newey-West, defaults to a reasonable value etc. etc., please see ?vcovSCC. A nice explanation (in a Stata context) in Hoechle (2007) on the Stata journal, also here: http://fmwww.bc.edu/repec/bocode/x/xtscc_paper.pdf I still believe my home-made panel-Newey-West from yesterday would work, but [[elided Yahoo spam]] PS a couple of experts on the subject are bc/c-ed, please correct me if I'm wrong. Best, Giovanni -----Messaggio originale----- Da: Millo Giovanni Inviato: mercoled? 1...