similar to: correlated events in time series

----- Forwarded Message ----- From: vramaiah at neo.tamu.edu To: "bernhard pfaff" <bernhard.pfaff at pfaffikus.de> Sent: Friday, November 11, 2011 9:03:11 AM GMT -06:00 US/Canada Central Subject: Use of R for VECM Hello Fellow R'ers I am a new user of R and I am applying it for solving Bi-Variate (Consumption and Output) VECM with Co-Integration (I(1)) with three lags on

Hello to everyone! I am working on my final year project about multivariate time series. There are three variables in the multivariate time series model. 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

Dear R developers, I have a new class, which I called "Molecule", and have tried to define = a "+" operation for 2 objects of this class. This is what I have written so far, although the method is not complete = (I'm trying to look at it at intermediate stages): setMethod( f=3D"+", signature(x=3D"Molecule",y=3D"Molecule"),

Dear R gurus and users, I seem to have problem finding the right tool for plotting convex hulls over 2D plots, after a cluster analysis. In fact I would like to draw a convex hull in 2D for a generic group of points. I found a "convhulln", but this doesn't seem to give me a convex hull. Here is what I do: > library(mvtnorm) > Mean <- c(2,1) > Sigma <-

Dear R community, I would be greatful if somebody could shed light on the following. I have created a set of 6 points to check how centroid agglomeration works in cluster analysis: > Y <- data.frame(x=c(-1,1,1,-1,10,12),y=c(1,1,-1,-1,0,0)) It is quite intuitive to understand that the last clusters to be joined will be {1,2,3,4} with {5,6}. Now, the centroid for the first cluster has

Dear R community, I would like to source a file in my linux system to set a few environment variables. I have tried: > system("source /home/james/build//ccp4-6.1.13/include/ccp4.setup") and got: sh: source: not found In fact, using Sys.which("source") I get an empty string. How can I source that ccp4.setup file from within an R session? J Dr James Foadi PhD Membrane

Dear RGL experts, I haven't been able to add greek letters to my rgl plot3d. I have tried "expression" with no success. Here is the interested bit: > library(rgl) > cb <- cube3d() > plot3d(cb,xlab=expression(alpha),ylab="",zlab="",box=FALSE,alpha=0.5) The expression(alpha) appears as "alpha", rather than as a greek symbol. I suspect greek

Dear R community (and Duncan more specifically), I can't work out how to make additional light sources work in rgl. Here is the example. First I create a cube and visualize it: > cubo <- cube3d(col="black") > shade3d(cubo) Next I position the viewpoint at theta=0 and phi=30: > view3d(theta=0,phi=30) Next, I want to create a 2nd light source which diffuses red light

Dear all, I have a very small script to plot a function. Here it is: ########################################## sinca <- function(N,th) { return(sin((N+0.5)*th)/sin(0.5*th)) } plot_sinca <- function(N) { x <- seq(-5*pi,5*pi,by=pi/100) y <- rep(0,length=length(x)) for (i in 1:length(x))y[i] <- sinca(N,x[i]) plot(x,y,type="l",ylim=c(0,2*N+4)) return(c(x,y)) }

Dear R community, I'm trying to develop a fast way of summing specific rows of a large data frame. Here is an example of the kind of data frames I'm dealing with: > refls H K L M/ISYM BATCH I SIGI 43247 1 0 5 21 79 61.44117 2.20553 1040 1 0 5 257 6 15.16316 0.54431 2324 1 0 5 257 5 46.76152 1.67858 31515 1 0 5 259 60 57.97305

Dear Colleague I am trying to figure out how to use R to do OLS restricted VECM regression. However, there are some notation I cannot understand. Please tell me what is 'ect', 'sd' and 'LRM.dl1 in the following practice: #OLS retricted VECM regression data(denmark) sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")] sjd.vecm<-

Hello All, I wanted to perform a fourier transform on high frequency financial data. I have searched and have not found much on this topic for R. I was wondering if anyone has used any libraries for it or have come across any papers I may read. Many Thanks, Neil Gupta [[alternative HTML version deleted]]

Dear all, I have a question. How to get the standard errors of alpha and beta when using "ca.jo" to test cointergration? In the paper by Bernhard Pfaff and Kronberg im Taunus “VAR, SVAR and SVEC Models: Implementation Within R Package” pp.24-25. The standard errors are listed on the table 5 following the code: R> vecm.r1 <- cajorls(vecm, r = 1) I tried this in my Mac R, but

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

Dear all, I have looked for an answer for a couple of days, but can't come with any solution. I have a set of functions, say: > t0 <- function(x) {1} > t1 <- function(x) {x} > t2 <- function(x) {x^2} > t3 <- function(x) {x^3} I would like to find a way to add up the previous 4 functions and obtain a new function: > rrr <- function(x) {1+x+x^2+x^3} without,

Dear R-users I intend to create a function which calls some smaller other functions in return. Some of these smaller functions all call some functions. I do not know a good way to do this. I tried using the source() function to include the smaller functions within the main functions before they are called. This does not work, or maybe i am not doing the right thing. For example: the

I'm not seeing how to plot the quantities associated with two values of a factor by reading the ?xyplot help page and Deepayan's book. Perhaps I need to generate many different subsets from the data frame, but that would require _many_ new data frames. The structure of the data frame (for a single stream) has sites (factor), a date (as.Date), parameters (factor), and quantities

I'm a programmer, not a mathmatician. I heard about R, and I'm wondering if anyone can tell me if there is an existing R function that can help with a problem we're currently trying to find an algorithm for. If R is not the answer, but you can recommend a known algorithm, that would help a lot! I'm on a project in a retail corporation, working on a program to assist retail buyers

Readers, I have data with different time stamps that I wish to plot (for example): data set 1 time(hh:mm:ss),datum 01:00:00,500 01:00:15,600 01:00:30,750 01:00:45,720 01:01:00,700 01:01:15,725 01:01:30,640 01:01:45,710 data set 2 time,datum 01:00:12,20 01:01:01,55 01:01:55,22 The time interval in data set 1 does not change, but the time interval in data set 2 does change, such that for a

Dear All, My question is: how can I estimate VECM system with "unrestricted trend" (aka "case 5") option as a deterministic term? As far as I know, ca.jo in urca package allows for "restricted trend" only [vecm <- ca.jo(data, type = "trace"/"eigen", ecdet = "trend", K = n, spec = "transitory"/"longrun")].