similar to: FinTS_0.2-7

Hi, All: FinTS version 0.3-1 is now available on CRAN. This version adds a function 'apca' for "Asymptotic Principal Components Analysis", as discussed in Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, sec. 9.6), in addition to minor improvements in the partially complete scripts for chapters 3 and 9. Spencer Graves

Hi, Does anyone know if R has a Lagrange multiplier (LM) test for ARCH effects for univariant time series? Thanks! -- Tom [[alternative HTML version deleted]]

Hi, All Thanks to Robert Baskin, Thomas Lumley, and Spencer Graves for the valuable helps. I have learned a lot from this discussion. I put all discussions together without editing, so we can see how things are evolved. Likely, I have a lot of articles to read. As in the discussion, mixed modeling approach is a poosible but may be over-kill in my posted data analyses. I will explore other

Hello, First, sorry for my poor english, I will try to be understood. It's the first time I try this "r-help mailing list" and I hope it will be a success. I am working on heteroscedasticity analysis. I would like to get the "Box-Ljung" and the "Lagrange multipliers" test. I found the first one in the library "ts", but I can't find the second one.

Hi, I'm slowly working through Tsay's "Analysis of Financial Time Series" 3rd ed. ?I'm trying to replicate Table 2.1 on p.47, which gives PACF, AIC, and BIC for the monthly simple returns of the CRSP value-weighted index. The data: http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt > da <-

Hi, I'm trying to model an ARMA(1,[1,4]), i.e. I want only lags 1 and 4 of the Moving Average part. It's the '[1,4]' part that is giving me a problem. I've tried different arma's and arima's in different packages, namely: packages tseries, fArma, FinTS, timeSeries, TSA, Zelig, ds1, forecast For example, with package FinTS: > ( ARIMA(y, order=c(1,0,c(1,4))) )

Hi experts of R, Are there any functions in R to test a univariate series for long memory effects, structural breaks and time reversability? I've found for ARCH effects(ArchTest), for normal (Shapiro.test, KS.test(comparing with randn) and lillie.test) but not for the above mentioned. Where can I find a comprehensive list of functions available by type? Thank you Renato Costa -- View this

Hi, I was trying to repeat the estimation of threshold GARCH models from the book "Analysis of Financial Time Series" by Ruey S. Tsay, and I was succesfull, but I had to use "for" loop, which is quite slow. The loop is necessary, since you need to calculate recursive sequence. Is there a faster way to do this in R, without using loops? The model is such: r_t = \mu + \alpha_2

Hi all, I am looking for study resources for (financial) time series? Hopefully I could find video lectures then it will reduce the learning curve. Thanks a lot! [[alternative HTML version deleted]]

Hi, Please tell me the R codes for Engle Granger Test of cointegration. TIA Aditya

On Tue, Oct 13, 2009 at 5:06 PM, Rolf Turner <r.turner@auckland.ac.nz>wrote: > > Not clear to me what the OP really wants. Perhaps the seasonal > model is what's required; perhaps an arima(1,0,4) model with > theta_2 and theta_3 constrained to be 0. The latter can be > achieved with > > arima(x,order=c(1,0,4),fixed=c(NA,NA,0,0,NA,NA)) > > Or perhaps

Hello all, This is a request for help from somebody who has the Ox interfaces working in R. I am trying to get the Ox interfaces working for Arfima and Garch modelling. However, I am having several problems: 1. The link to download G at rch_v40 does not work. Does anybody have a copy to email to me please? 2. Various guides offer different instructions for installing Ox in the correct place

I'm curious to find out if there is an example of R code for optimization of two variable function, with contraints, using lagrange multiplier (using optim/nlm?). I have a problem that contains one discrete variable, but need a simple problem/example to start with. I haven't been able to find any examples and thought I should ask here before I plunged into writing a few miles of R code.

Hi there, I have a major problem (major for me that is) with solve.QP and I'm new at this. You see, to solve my quadratic program I need to have the lagrange multipliers after each iteration. Solve.QP gives me the solution, the unconstrained solution aswell as the optimal value. Does anybody have an idea for how I could extract the multipliers? Thanx, Serge "Beatus qui prodest quibus

Are there implementations of, e.g. Neville's algorithm, for interpolating polynomials through some data points? Nevilles' is an improvement on Lagrange interpolation. And how about interpolating rational functions? I could not find anything at rseek.org or at crantastic.org. thanks -- View this message in context:

Hello, The "arma" function in the "tseries" package allows estimation of models with specific "ar" and "ma" lags with its "lag" argument. For example: y[t] = a[0] + a[1]y[t-3] +b[1]e[t-2] + e[t] can be estimated with the following specification : arma(y, lag=list(ar=3,ma=2)). Is this possible with the "arima" function in the

# Dear List, # I want to characterize a time series according to its Quarter components. # My data ("a.ts": http://docs.google.com/View?id=dfvvwzr2_478cr9k4cdb)? look like: #???????????????? Qtr1????????? Qtr2????????? Qtr3????????? Qtr4 #?? 1948 -0.0714961837? 0.0101747827? 0.0654816569 -0.0227830729 #?? 1949 -0.1175517556? 0.1151378692? 0.1015777858 -0.1971535900 #?? 1950?

I am new to using R and would appreciate some advice on which books to start with to get up to speed on using R. My Background: 1-C# programmer. 2-Programmed directly using IMSL (Now Visual Numerics). 3- Used in past SPSS and Statistica. I put together a list but would like to pick the "best of" and avoid redundancy. Any suggestions on these books would be helpful (i.e. too much

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

Hi Please Help... Adding winXP pro user into Samba 2.2.12, no PDC, setup login account with same name and passwd on Desktop as on the server (used smbpasswd -a - to add passwd) following the guide www.faqs.org/docs/samba/ch03.html trouble - Can't access the server MP samba looks like it is running from the trouble shooting I have done... smbstatus returns the following on the test