similar to: help - Package: stats - function ar.ols

Hello, Thanks for the reply Rui and for pointing out that I forgot to attach my code. Please find attached in this email my code and data. Thanks in advance. Best regards, Pedro Gerhardt Gavronski. On Fri, Feb 23, 2024 at 5:50?AM Rui Barradas <ruipbarradas at sapo.pt> wrote: > > ?s 16:34 de 22/02/2024, Pedro Gavronski. escreveu: > > Hello, > > > > My name is Pedro

?s 16:34 de 22/02/2024, Pedro Gavronski. escreveu: > Hello, > > My name is Pedro and it is nice to meet you all. I am having trouble > understanding a message that I receive when use function ar.ols from > package stats, it says that "Warning message: > In ar.ols(x = dtb[2:6966, ], demean = FALSE, intercept = TRUE, > prewhite = TRUE) : > model order: 2

The data came through fine, the program was a miss. Can you paste the program into a ".txt" document like a notepad file and send that? You could also paste it into your email IF your email is configured to send text and NOT html. TIm -----Original Message----- From: R-help <r-help-bounces at r-project.org> On Behalf Of Pedro Gavronski. Sent: Friday, February 23, 2024 5:00 AM To:

I want to calculate Newey West robust standard error using NeweyWest. Comparing the results to what I get in STATA, in order to get the same results in I need to specify "prewhite=0". Can someone explain what this prewhite command means? Thanks [[alternative HTML version deleted]]

Hello I am facing a curious problem.I have a time series data with which i want to fit auto-regressive model of order p, where p runs from 1:9.I am using a for loop which will fit an AR(p) model for each value of p using the *ar.ols* function. I am using the following code for ( p in 1:9){ a=ar.ols (x=data.ts, order.max=p, demean=T, intercept=T) } Specifying the *order.max* to be p, it gives me a

When I run the code below on Macintosh and Windows, the plot comes out fine. However, on Linux, the png generated is invalid from R console, and loading strucchange crashes rkward. Is this a known issue on Linux and, if so, is there a workaround? Many thanks! require(strucchange) data("RealInt") bp.ri <- breakpoints(RealInt~1, h=15) summary(bp.ri) fac.ri <- breakfactor(bp.ri,

Hi, I am trying to fit an AR model, maximum order =4, order selection criterion is aic. I wonder why these two give different results: m1<-ar.ols(x, aic=TRUE, method="ols", order.max=4) m1<-auto.arima(x,d=0, D=0, max.p=4, max.P=0, max.q=0, max.Q=0, ic="aic") Could they both use the function predict to do forecasting? Is there any function that works better?

Hi there, we are beginners in R and we are trying to fit the following time series using ar(2): > x <- c(1.89, 2.46, 3.23, 3.95, 4.56, 5.07, 5.62, 6.16, 6.26, 6.56, 6.98, > 7.36, 7.53, 7.84, 8.09) The reason of choosing the present time series is that the we have previously calculated analitically the autoregressive coefficients using the direct inversion method as 1.1, 0.765, 0.1173.

Hi to all, In other statistical software, such as Eviews, it is possible to regress a model with the Least Squares method, assuming that the residuals follow an AR(q) process. For example the resulting regression is something like y = 1.2154 + 0.2215 x + 0.251 AR(1) How is it possible to do the same in R? Thank you very much in advance, Constantine Tsardounis http://www.costis.name

Hi, I'm trying to fit a model using variance components in R, but if very new on it, so I'm asking for your help. I have imported the SPSS database onto R, but I don't know how to convert the commands... the SPSS commands I'm trying to convert are: VARCOMP RATING BY CHAIN SECTOR RESP ASPECT ITEM /RANDOM = CHAIN SECTOR RESP ASPECT ITEM /METHOD = MINQUE (1) /DESIGN

I would like to buy a basic statistics book (experimental design, sampling, ANOVA, regression, etc.) with examples in R. Or download it in PDF or html format. I went to the CRAN contributed documentation, but there were only R textbooks, that is, textbooks where R is the focus, not the statistics. And I would like to find the opposite. Other text I am trying to find is multivariate data

Hi, I would like to have an index for a column in a matrix encoded in a cell of the same matrix. For example: x = matrix(c(11,12,13,1, 21,22,23,3, 31,32,33,2),byrow=T,ncol=4) In this case, column 4 is the index. I then access the column specified in the index by: > for (i in 1:3) print(x[i,x[i,4]]) [1] 11 [1] 23 [1] 32 > > for (i in 1:3) {x[i,x[i,4]] <- x[i,x[i,4]] + 5} > x

Hi, Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section 4.11, how does the last two equations' HAC calculate? I've tried several groups of parameters in sandwich::NeweyWest, but I still cannot get the same result. I've tried lag=2 and lag=3, as long as prewhite=FALSE and prewhite=TRUE yet, but... Sincerely Hsiao-nan Cheung

thank you, achim. I will try chol2inv. sandwich is a very nice package, but let me make some short suggestions. I am not a good econometrician, so I do not know what prewhitening is, and the vignette did not explain it. "?coeftest" did not work after I loaded the library. automatic bandwidth selection can be a good thing, but is not always. as to my own little function, I like the

Hi guyz, I have run my algorithm in R (see http://pastebin.com/q84Tujfg) and got the following error: Error in ar.ols(x, aic = aic, order.max = order.max, na.action = na.action, : 'order.max' must be < 'n.used' I am pretty sure, that the error comes from the NeweyWest function in line 45, as the NeweyWest function uses the ar.ols() function for pre whitening. Does anyone

I had a couple of questions about the ar function that i was hoping someone could answer. I have the structure below testSeries<-structure(c(-3.88613620955214e-05, 0, -7.77272551011343e-05, 0, -0.000194344573539562, -0.000116624876218163, -3.88779814601281e-05, 0, 3.88779814601281e-05, -0.000155520995647807, -0.000116656621367561, -3.88885648225368e-05, -3.88900772017586e-05,

Hello, I understand that the/ demean/ argument in the *ar()* function to fit an autoregressive model selects the best AR model fitted to the mean deleted observations. What is the purpose of using this demean procedure at all? Its seems silly as the post doesn't deal with R problems.... Thanks -- View this message in context:

Full_Name: Steven McKinney Version: 2.6.0 OS: OS X Submission from: (NULL) (142.103.207.10) Function ar() in package "stats" is showing a quirky bug. Some calls to ar() run to completion, others throw an error. The bug is reproducible by several people on different machines, however, the ar() function itself ends up throwing the error sporadically. Several calls to ar() may be

Hi, Why sum() on a 10-item vector produces a different value than its counterpart on a 2-item vector? I understand the problems related to the arithmetic precision in storing decimal numbers in binary format, but shouldn't the errors be equal regardless of the method used? See my example: > options(digits=22) > x=rep(.1,10) > x [1] 0.10000000000000001 0.10000000000000001

Hi, I am trying to learn time series, and I am attending a colleague's course on Econometrics. However, he uses e-views, and I use R. I am trying to reproduce his examples in R, but I am having problems specifying a AR(1) model. Would anyone help me with my code? Thanks in advance! Reproducible code follows: download.file("https://sites.google.com/a/proxima.adm.br/main/ex_32.csv