similar to: Simple Linear Autoregressive Model with R Language

Hi, I would like to make a replication of 10 of a linear, first order Autoregressive function, with respect to the replication of its innovation, e. for example: #where e is a random variables of innovation (from GEV distribution-that explains the rgev) #by using the arima.sim model from TSA package, I try to produce Y replicates, with respect to every replicates of e, #means for e[,1], I want

Dear R users, I would like to simulate, for 20000 replications, an autoregressive process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma), Thank you in advance ____________________________________________________ Écoutez gratuitement le nouveau single de Noir Désir et découvrez d'autres titres en affinité avec vos goûts musicaux

Dear R users, I am trying to find a package that can estimate an autoregressive model for discrete data. I am imagining a Poisson or Gamma process in which the mean (say mu) follows a process such as mu_t = a + b*x + c*mu_{t-1} Suppose I have data on the time-series Poisson outcomes and x and would like to obtain ML estimates for b and c. Does anyone know of a package that can do this

Hello everybody, I've a question about "autoregressive Regressionmodels". Let Y[1],.....,Y[n], be a time series. Given the model: Y[t] = phi[1]*Y[t-1] + phi[2]*Y[t-1] + ... + phi[p]*Y[t-p] + x_t^T*beta + u_t, where x_t=(x[1t],x[2t],....x[mt]) and beta=(beta[1],...,beta[m]) and u_t~(0,1) I want to estimate the coefficients phi and beta. Are in R any functions or packages for

Dear all, I would like to implement a spatial quantile regression using instrumental variable estimation (according to Su and Yang (2007), Instrumental variable quantile estimation of spatial autoregressive models, SMU economics & statistis working paper series, 2007, 05-2007, p.35 ). I am applying the hedonic pricing method on land transactions in Luxembourg. My original data set contains

Hi all ! I would like to simulate spatial lattice/areal data with a conditional autoregressive (CAR) structure, for a given neighbouring matrix and for a autocorrelation "rho". Is there any package or function in R to perform it ? I found the function "CARsimu" in the hdeco library, but this is not what I'm looking for Thanks in advance Dae-Jin --

I am new to R and have a question about spatial econometrics. I have noticed that you can easily test for spatial autocorrelation with the spdep package, but was wondering if any code has been written to correct for spatial autocorrelation? Or if there is any literature on this? Thanks. -Jill *************************************************** Jill L. Caviglia-Harris, Ph.D. Assistant

Dear all R users, I have a small doubt about panel data analysis. My basic understanding on Panel data is a type of data that is collected over time and subjects. Vector Autoregressive Model (VAR) model used on this type of data. Therefore can I say that, one of statistical tools used for analysis of panel data is VAR model? If you clarify my doubt I will be very grateful. Thanks and regards,

Hi all, I've just started working my way through Mike West and Jeff Harrison's _Bayesian Forecasting and Dynamic Models_, and I was wondering if there were any publically-available packages to handle dynamic linear models, as they describe. I found the "dynlm" package, but either I don't yet understand what's going on or that package uses a different sense of the phrase

Hello, I have just started using R, maybe more like learning it. I am interested in using it for Time Series Analysis and I wanted to know if anyone was familiar with packages other than TS that might be appropriate. Allan

Hey, all, I may just be missing something, but I'm trying to construct a temporal autoregression with an independant variable other than just what is happened at a previous point in time. So, the model structure would be something like y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a*x(t) I'm even considering a model of y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a1*x(t)+a2*x(t-1)... So, my data looks like

I want to set up a model with a formula and then run dynlm(formula) because I ultimately want to loop over a set of formulas (see end of post) R> form <- gas~price R> dynlm(form) Time series regression with "ts" data: Start = 1959(1), End = 1990(4) <snip> Works OK without a Lag term R> dynlm(gas ~ L(gas,1)) Time series regression with "ts" data: Start =

Hi: I've tried to install centos 4.3 in a raid array, setuped on bios as mode "Adaptec". The chip is ICH7R but centos always sees 2 drives instead of the array that I create. I've contacted Supermicro support and they gave me this link ftp://ftp.supermicro.com/driver/SATA/Adaptec_ICH7R/Linux/Redhat/ , but the disk drivers I tried to use with centos 4.3 did not work, saying that

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

Hi, I would like to have a script/function (or write one) that can calculate the linear models for all possible combinations of explaining variables. Eventually I would like to end up with a data base (or data frame) giving for each model the R2, R2adj, AIC etc. Currently I'm a bit stuck while writing my own script using the lm() function from the base package. Also, I haven't fund any

Hi, I was wondering why the results from lm and dynlm are not the same for what I think is the same model. I have just modified example 4.2 from the Pfaff book, please see below for the code and results. Can anyone tell my what I am doing wrongly? Many thanks, Werner set.seed(123456) e1 <- rnorm(100) e2 <- rnorm(100) y1 <- ts(cumsum(e1)) y2 <- ts(0.6*y1 + e2) lr.reg <- lm(y2

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All: How do I obtain one step ahead out-of-sample forecasts from a model using "dyn" or "dynlm" ? Thanks! Best, John [[alternative HTML version deleted]]

Hi,I try to calcualte AIC or Loglik to GARCH model,But the Packege Tseries do not deal with them.How can I calculate AIC or Loglike to GARCH Model By Packege Tseries? Thanks. ____________________________________________________ Free Internet Access NOW! In Alexandria, Ismaileya, Suez, Portsaid, Hurgadha, Sharm Banha, Shebin El-Kom, Damietta, Tanta, Zagazig, Mansoura, Damanhour, Assyout, Qena

Hello Everyone,   My company purchased S-Plus before it was bought out by Tibco. My understanding is that we own version 7.0 outright.   So far, I've been learning in R but thought I might also try working in S-Plus. My understanding is that S-Plus has some useful extra features. Another potential benefit would be the ability to purchase technical support, which I thought might help me to