Displaying 20 results from an estimated 2000 matches similar to: "online classes or online eduction in statistics? esp. time series analysis and cointegration?"
2006 Jan 07
2
Where is the stud.ci() function used in boot.ci()?
Hello!
I am trying to duplicate the studentized bootstrap confidence interval
calculations in boot.ci() without using boot.ci(). My w/o boot.ci()
calculations are close to boot.ci() using the same object from
implementation of boot(), but not quite the same (I think the differences
are due to how quantiles are computed for z*). Through examining the
boot.ci() code, I can see there is a call
2008 Dec 16
1
Cointegration and ECM in Package {urca}
Dear R Core Team,
I am using package {urca} to do cointegration and estimate ECM model,
but I have the following two problems:
(1) I use ca.jo() to do cointegration first and can get the
cointegration rank, alpha and beta. The next step is to test some
restrictions on beta with blrtest(),bh5lrtest(), and bh6lrtest(). But
none of them can add restrictions on all the cointegration
2006 Jun 29
1
Cointegration Test in R
Hello!
I'm using the blrtest() function in the urca package
to test cointegration relationships.
Unfortunately, the hypothesis (restrictions on beta)
specifies the same restriction on all cointegration vectors.
Is there any possibility to specify different restrictions on
the cointegration vectors?
Are there any other packages in R using cointegration tests?
Thanks and best regards.
Dennis
2012 Apr 27
2
panel cointegration
Hi - i am looking for a package with which I can perform panel cointegration
tests. Old threads suggest plm and urca package, but I don't find suitable
tests in these packs. Somebody knows more?
best regards, Philipp
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2007 Aug 08
2
cointegration analysis
Hello,
I tried to use urca package (R) for cointegration analysis. The data
matrix to be investigated for cointegration contains 8 columns
(variables). Both procedures, Phillips & Ouliaris test and Johansen's
procedures give errors ("error in evaluating the argument 'object' in
selecting a method for function 'summary'" respectiv "too many
variables,
2012 Feb 05
1
fractional cointegration
Dear folk,
I am stempting to estimate a vector error correction model using a
seemingly fractionally integrated multivariate time series. The
*fracdiff *package
provides tools to estimate degree of fractional integration. But
*fracdiff *can't
help me to:
1. test equality of two degrees of fractional integration, say d1=d2?
2. estimate a multivariate cointegrating error correction model,
2005 Nov 19
3
cointegration rank
Dear R - helpers,
I am using the urca package to estimate cointegration relations, and I
would be really grateful if somebody could help me with this questions:
After estimating the unrestriced VAR with "ca.jo" I would like to impose
the rank restriction (for example rank = 1) and then obtain the
restricted estimate of PI to be utilized to estimate the VECM model.
Is it possible?
It
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
2008 Mar 20
1
Cointegration no constant
Hi,
I am trying to estimate a VECM without constant using the following code:
data(finland)
sjf <- finland
sjf.reg<-ca.jo(sjf, type = c("eigen"), ecdet = c("none"), K = 2,spec=c("transitory"), season = NULL, dumvar = NULL)
cajools(sjf.reg)
While the cointegration test does not use a constant, it is used in the cajools which I do not want. I am sure I am
2004 Mar 25
1
S+Finmetrics cointegration functions
Dear all,
S+Finmetrics has a number of very specilised functions. I am
particularly interested in the estimation of cointegrated VARs (chapter
12 of Zivot and Wang). In this context the functions coint() and
VECM() stand out. I looked at package "dse1", but found no comparable
functionality. Are there any other packages you could point me to? In
general, are there efforts for
2012 Jan 15
0
A question about cointegration - How can we find the standard deviation in the cointegration relationship ?
Hello,
I am using urca package to run cointegration. I would like to find the
standard error in the (normalized, Johansen) cointegration relationship. How
can I do it?
As far as I know, The function "cajorls" in the "urca" package provides
the normalized cointegrating relationships. Nevertheless, it does not
provide the standard deviation of the coefficient for each
2009 Mar 16
0
Cointegration Vectors
Hi,
I am trying to test the cointegration among 5 time series, grouped in pairs. I would like to save in a table the cointegration vectors for the 10 tests.
I used the urca package, but I dont know how to extract the data only for the cointegration vector.
Thanks in advance for help !
Eduardo
2011 Sep 28
0
cointegration test
Dear All,
I am looking for a cointegration relationship between Spot and Future Price
of commodites. The problem i am facing follows:
1. After estimating by Engle-Grranger Method, i found that the residuals are
stationary at their level I (o), which is required to fulfill the
cointegration test. But the autocorrelation problem arises, as DW statistics
is signficantly low 0.50-0.88 for various
2009 Sep 01
1
Logistic Politomic Regression in R
Hi everyone,
I'm trying to do an Logistic Politomic Regression in R. Because I have my resposes variables and the aswer is 0 and 1 in 3 bacterial genes. Somebody know how to do this in R in a easy way?
Thank so much,
José Bustos
Facultad de Ciencias
Universidad Catolica Ssma.
Concepcion
Chile
--- El lun, 31/8/09, r-help-request@r-project.org <r-help-request@r-project..org>
2012 Aug 21
1
Trace values in the function ca.jo()
Hi all R users,
I'm trying to replicate the same results that are given in a published
article after been granted
the same data that the authors use.
I'm having problems to determine the cointegration rank of my data set using
the Johnasen's trace test.
This trace test is already programmed in the package ur.ca and can be found
in the function
ca.jo().
After I run the ca.jo()
2011 Apr 03
0
Standard Error for Cointegration Results
Dear Sir/Madam,
I have used ca.jo in urca package to identify the cointegration and cajorls to estimate the vecm. Althought both return the coefficients for long run relationship (or ect1 in cajorls), I am unable to find the standard error and t statistics.
I spend some weeks to search around. I did find some similar enquiries before and answer provided Prof. Pfaff is to use vec2var. However,
2007 Jun 02
0
Question regarding Johansen's cointegration testing
Hi,
I have a couple of questions about johansen's test, in general:
1. I was able to obtain error correction term (ect) from cajorls$rlm$model properly. According the my ca.jo object on 2-variate series, the test suggests that the integration rank is 1. Which means that my ect should be stationary. However, I did test stationariy on ect and it shows non-stationarity and my acf still shows
2007 Mar 14
0
Question about testing cointegration using Autoregressive distributed Model (ADL)
Hi,I'm just wondering if there is any package for testing cointegration with ADL model. I saw a bunch of packages and list of email thread. There seemed to be no such a specific method. I am following this paper on how to test using ADL but I don't have a tool. http://www.wiwi.uni-frankfurt.de/~hassler/ha-wo.pdfAny help would be really appreciated. Thank you.Taco
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2009 Sep 02
0
Cointegration/urca package
Hello!
I estimate vector error correction model (vecm) model. I have only one cointegratio relationship. I write :
joh.vecm.rls <- cajorls(joh.vecm, r=1)
The output estimation is :
Call:
lm(formula = substitute(form1), data = data.mat)
Coefficients:
up.d expl.d upd.d r.d
ect1 -1.34e-01 4.55e+02 6.91e+00 2.43e+03
constant
2003 Jun 10
1
Regression output labels
Hello to all-
1. When I run a regression which implements the augmented Dickey-Fuller
test, I am confused about the names given to the regressors in the output.
I understand what "xGE" stands for in a standard "lm" test involving an
independent variable GE for instance, but if I lags and or differences are
included in the model, what do the following "output" stand