search for: varselect

Displaying 11 results from an estimated 11 matches for "varselect".

2011 Oct 18
0
how to use VARselect with missing values - beginner's question
...   NA  1.82   -0.98     2.60     54.75 [11,] 29.91    NA  2.85   -2.01     2.61     62.51 [12,] 30.01 -4.18  0.84    0.01     0.96     52.41 [13,] 29.35 -4.06  0.92   -0.08     2.97     45.33 [14,] 29.43 -3.40  1.39   -0.54     4.02     55.15 [15,] 28.92 -3.34  1.12   -0.23     6.29     56.86 > VARselect(dadosvar,lag.max=8,type="both") Error in VARselect(dadosvar, lag.max = 8, type = "both") : NAs in y.   When I tried VARselect it won't work because there are missing values. Is there a way around this problem?   Thanks in advance for any help.   Kind regards, Iara [[altern...
2017 Nov 21
2
help
I am working on Johansen cointegration test, using urca and var package. in the selection of var, I have got following results. >VARselect(newd, lag.max = 10,type = "none") $selection AIC(n) HQ(n) SC(n) FPE(n) 6 6 6 5 $criteria 1 2 3 4 5 6 7 8 9 AIC(n) -3.818646e+01 -3.864064e+01 -3.833435e+01 -4.089169e+01 NaN -Inf -Inf -Inf -Inf HQ...
2011 Nov 06
1
VAR and VECM in multivariate time series
...el. I have a few questions: 1. I used acf and pacf plot and find my variables are nonstationary. But in adf.test() and pp.test(), the data are stationary. why? 2.I use VAR to get a model. y is the matrix of data set and I have made a once difference of it to make it stationary. library(tsDyn) VARselect(y,lag.max=20,type="const",season = NULL, exogen = NULL) y1=VAR(y, p = 16, type = c("const"), season = NULL, exogen = NULL, lag.max = NULL,ic = c("AIC")) summary(y1) plot(y1) How can I get estimation of AIC in this model? 3. I also get a VECM model v1=VECM(y, lag=16,...
2017 Nov 21
2
help
...xcuse my brevity. > > On November 21, 2017 12:48:08 AM PST, yadav neog <yadavneog at gmail.com> > wrote: > >I am working on Johansen cointegration test, using urca and var > >package. > >in the selection of var, I have got following results. > > > >>VARselect(newd, lag.max = 10,type = "none") > > > >$selection > >AIC(n) HQ(n) SC(n) FPE(n) > > 6 6 6 5 > > > >$criteria > > 1 2 3 4 > > 5 6 7 8 9 > >AIC(n) -3...
2017 Nov 21
0
help
...ette) -- Sent from my phone. Please excuse my brevity. On November 21, 2017 12:48:08 AM PST, yadav neog <yadavneog at gmail.com> wrote: >I am working on Johansen cointegration test, using urca and var >package. >in the selection of var, I have got following results. > >>VARselect(newd, lag.max = 10,type = "none") > >$selection >AIC(n) HQ(n) SC(n) FPE(n) > 6 6 6 5 > >$criteria > 1 2 3 4 > 5 6 7 8 9 >AIC(n) -3.818646e+01 -3.864064e+01 -3.833435e+01 -4.08...
2010 Aug 23
2
Fitting VAR and doing Johansen's cointegration test in R
Hi, Could someone please tell me the R codes for fitting VAR(p) (Vector Auto Regressive) models and doing the Johansen?s cointegration tests. TIA Aditya
2012 Dec 05
0
Problem in summary of var results
...aset cn.chf us.chf 2005-07-01 -1.18656633 -1.18656633 2005-07-04 -0.48835920 -0.48835920 2005-07-05 -0.01534272 -0.01534272 2005-07-06 0.08825279 0.08825279 2005-07-07 0.34223563 0.34223563 2005-07-08 -0.05776229 -0.05776229 commands which I am usings are 1) lag.var <- VARselect(data1, 10, type="both")$selection["AIC(n)"] 2) reg1 <- VAR(data1, p=lag.var) but when I am saying summary(reg1) and I am getting same error for irfs as well. Its's giving me and error Error in merge(lhs, rhs, all = FALSE) : error in evaluating the argument 'y'...
2012 Nov 21
0
Question about VAR (Vector Autoregression) in differences.
...43728, 0.694629910826878, 0.654572164624051), .Dim = c(40L, 2L), .Dimnames = list(NULL, c("a", "b"))) I have used the "usual" techniques to show that both of the series are I(1), (integrated of order 1) AND that there is no co-integration. In addition I used the VARselect program to estimate the number of lags. To estimate the relationship between these variables the standard recipe (as far as I know) is to take first differences of the individual series and apply the VAR program to the new bivariate difference series. The VAR program seems to derive a reasonable...
2012 Oct 22
0
"Vars" package: impulse response function
...ock but what is the value of this shock? If for example I have to assess the response on 10% increase of sp variable what should I do with these results? Thanks a lot, Marion > #make a data frame > vardat3<-data.frame(gdp,unemp,sp) > #select the number of lags: const > infocrit<-VARselect(vardat3,lag.max=20,type="const") > infocrit $selection AIC(n) HQ(n) SC(n) FPE(n) 20 2 1 2 $criteria 1 2 3 4 AIC(n) -1.862833e+01 -1.880996e+01 -1.868877e+01 -1.863180e+01 HQ(n) -1.849392e+01 -1.857475e+01 -1.835275e+01 -1.819497e+01 SC(n) -1.829502e+01 -1.822667e+01 -1.785550e+01 -1.7...
2008 Jul 02
2
Optimal lag selection in Granger Causality tests
Dear R Users, Can someone point me to a R package which will help me optimally choose a lag for Granger Causality testing ? Many thanks in advance, Tolga Generally, this communication is for informational purposes only and it is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. In the event you are
2010 Aug 24
0
mlm for within subject design
...2*A[i-1,1]-0.2*A[i-1,3]+rnorm(1), 0.9+0.2*i+A[i-1,3]+0.1*A[i-1,1]+0.15*A[i-1,2]+rnorm(1) ) } (a.ct <- ur.df(A[,"a"],type="trend")) (b.ct <- ur.df(A[,"b"],type="trend")) (c.ct <- ur.df(A[,"c"],type="trend")) VARselect(A,type="both") var.p1 <- VAR(A,1,type="both") summary(var.p1) jo <- ca.jo(A) summary(jo) -- Owe Jessen Nettelbeckstr. 5 24105 Kiel post at owejessen.de http://privat.owejessen.de --Forwarded Message Attachment-- From: ccampbell at mango-solutions.com CC: r-help at r-...