search for: sabaric

...lass(ts). I can perform the conversions outside of R and then import but I would rather perform all conversions within R. I have looked through the zoo and Rmetrics packages but without success. Any help will be appreciated. Thanks, Richard Saba Department of Economics Auburn University Email: sabaric at auburn.edu Phone: 334 844-2922

Is anyone aware of an R procedure similar to STATA's "heckprob" procedure? "Heckprob" fits maximum likelihood probit models correcting for sample selection bias. Thanks, Richard Saba Department of Economics Auburn University Email: sabaric@auburn.edu [[alternative HTML version deleted]]

...stats" or in other time series packages like fArima, forecast, or FinTS? They all take a "lag" argument. I would like to have the ability to estimate models like the one above while utilizing the "xreg" argument available in the other arima functions . Thanks, Richard Saba sabaric at auburn.edu

I have an ascii data set of monthly observation starting in Jan 1946 with a header. hstarts 57 65 95 103 103 97 94 . . . Which I read with the following code tab6.1<-ts(read.table(fname, header=TRUE),frequency=12,start=c(1946,1)) I would like to run a time series model with dummy variables for each month. If I had a variable which take values from 1 to 12 indicating the month I could use

...I found the Shumway "Time series analysis and its applications with R Examples" website very helpful but many practical questions involving manipulation of time series data still remain. Any help will be appreciated. Thanks, Richard Saba Department of Economics Auburn University Email: sabaric at auburn.edu Phone: 334 844-2922 anscombe<-read.table(fname, header=TRUE) names(anscombe)<-c("x1","y1","x2","y2","x3","y3","x4","y4") reg1<-lm(y1~1 + x1, data=anscombe) reg2<-lm(y2~1 + x2, da...

...e function help files without success. For example I have attempted to replicate by hand the se.fit calculation from a lm object calculated by a call to the predict function and have not been able to reproduce the results. Thanks, Richard Saba Department of Economics Auburn University Email: sabaric@auburn.edu [[alternative HTML version deleted]]

There seems to be an error in the summary() function when applied to "ts" class objects. The results of a call to summary( ), on the R "ts" data set USAccDeaths , reports the wrong value for Max. The value reported by the summary function is 11320. The max( ) function returns the correct value 11317, the July 1993 value. Coercing the data to a data.frame and calling summary

I would like to read the following hierarchical data set. There is a family record followed by one or more personal records. If col. 7 is "1" it is a family record. If it is "2" it is a personal record. The family record is formatted as follows: col. 1-5 family id col. 7 "1" col. 9 dwelling type code The personal record is formatted as follows: col.

Is anyone aware of a procedure to apply Newey-West corrections for autocorrelation to a SUR regression model? The SANDWICH package seems to be applicable only to LM or GLM models. Thanks, Richard Saba Department of Economics Auburn University Email: sabaric at auburn.edu

Hi, I am trying to understand exactly what xreg does in arima. The documentation for xreg says:"xreg Optionally, a vector or matrix of external regressors, which must have the same number of rows as x." What does this mean with regard to the action of xreg in arima? Apparently somehow xreg made the following two arima fit equivalent in R: arima(x, order=c(1,1,1), xreg=1:length(x)) is

I have a data set with observations on 549 cities spanning an 18 year period. However, some of cities did not report in one or more of the 18 years. I would like to implement the procedure suggested by Wooldridge section 17.1.3 in his "Econometric analysis of cross section and panel data" to correct for attrition. For example the table below indicates that the 3rd and the 7th cities in

Does anyone know if the bootstrap CI intervals generated by the irf() function (impulse response function) in the " vars" package are bias corrected? Thanks, Richard Saba [[alternative HTML version deleted]]

Reading data with variable column widths. Here are several lines of a txt data set I would like to read. The number of variables is fixed at 13 . The problem is how to read the first variable when it can contain blank space-- for example " Alabama (Seasonally Adjusted)" , "St. Clair", etc. Alabama (Seasonally Adjusted) 2,168,870 2,162,604 2,122,787 1,954,895 1,956,026

Each of the data sets contains monthly observations on price indices for 7 countries. I use the fitted values from reg1 in the reg2 model. The interior loop executes without error as long as I explicitly specify the data set, i.e. data=dat70. However the code fails to execute if I specify the model in the form of the commented line, i. e reg1 <-dynlm(form1,data=Dnames[j]) I get the following

The "tsdiag" function in the TSA package overrides the "tsdiag" function in the "stats" package. There are a few annoying bugs in the TSA's version of the function so I would like to use the "stats" function but still have access to other TSA functions. I have tried using stats::tsdiag( ) but as long as the TSA package is attached the function from