similar to: lags in regressions

Hi, all! Anyone know an easy way to specify the following model. Panel dataset, with stock through time, by firm. I want to run a model of y on a bunch of explanatory variables, and one dummy for each firm, which is 1 for observations that come from firm i, and 0 everywhere else. I have over 200 firms (and a factor variable that contains a firm identifier). Any easy way of going about

Hi, everyone! Is there a function to do single-variable GARCH in R? If yes, what library is it in? Thanks! Toby -- ************************************************************************** When Thomas Edison invented the light bulb he tried over 2000 experiments before he got it to work. A young reporter asked him how it felt to have failed so many times. He said "I never failed once. I

I have written two functions which do useful things with panel data a.k.a. longitudinal data, where one unit of observation (a firm or a person or an animal) is observed on a uniform time grid: - The first function makes lagged values of variables of your choice. - The second function makes growth rates w.r.t. q observations ago, for variables of your choice. These strike me as

Hi, I'm struggling to understand the documentation. ?lag.zoo x - a "zoo" object. k, lag - the number of lags (in units of observations). Note the sign of k behaves as in lag. differences - an integer indicating the order of the difference. What does the above line actually mean? I've tried a few settings on sample data but can't figure out what it is doing. x <-

Dear all: There seems to be a problem with scoping, for irf() in vars, when called within a function. Try the following: ----------------------- testfun <- function(lags){ data(Canada) var.2c <- VAR(Canada, p = lags, type = "const") print(var.2c) } testfun(lags=3) ## Everything OK. Now this: testfun2 <- function(lags){ data(Canada) var.2c <- VAR(Canada, p = lags, type =

R users: I'd like to get some insight on an error I encounter when attempting to work with two moderately sized sets of time series data. FYI - I'm using the following versions of R and supporting packages on a Windows 2000 OS: - R version 2.4.1 (2006-12-18) - zoo version 1.2-2 - chron version 2.3-10 The two time series I'm working with are from the summer of 2004 and are: 1.)

Hi all, How can a multivariate Poisson time series be modeled? Aspects of glm, forecast, dse and dynlm seem relevant but not quite complete--but hopefully what I am missing is how to assemble them effectively. What I am looking to do is model my dependent variable y_t as a Poisson family function of lags of several independent variables and lags of y_t. I would like to include all lags up

Hi! Sorry for asking a trivial questions, but I can't seem to figure this out. I have a dataframe called master containing 30-odd variables. In this dataframe, I have observations across these 30 variables from 1930 to 2003 (I've made a "year" variable). How can I drop all rows for which the year is less than 1960? I'm assuming something with ifelse() but I can't

Dear all, could someone please clarify me if this works, so as to implement lags and differences for example in y and in a independent x1 of a regression? model<-lm((diff(y), -i)~x1+lag(x1,-1), data=anydata) Thanks, a lot, Alexandre. ---------- In??cio da mensagem original ----------- De: r-help-bounces at stat.math.ethz.ch Para: r-help at stat.math.ethz.ch Cc:

Hi I'm computing the correlation between two time-series x_t and y_t-1 (time-series lagged using the lag(y,-1) function) using the cor() function and the returned value is different from the value of ccf() function at the same lag. Any ideas why this is so? Thanks in advance for any hints. Mihnea [[alternative HTML version deleted]]

hi guys, i have some trouble in creating lagged variables to use as external regressors. i'm trying to use lag(x) but it gives me as result the same time series (x), adding this part at the end: attr(,"tsp") [1] 0 2323 1 where do i wrong?are there other functions to be used? thanks sara -- View this message in context:

Hi, I took the advice of Daniel O'Connor, found out what variables I had available to me, and put them in the conf. So now it looks like : [ellipse] driver = mge-shut port = /dev/cuaa0 desc = "UPS" lowbatt = 5 offdelay = 120 let the UPS charge up fully, 24 hours. I plugged a single lamp into it, with a 60W bulb. At 3:40p

Life times of one brand of light bulb were observed. Life hours of nine light bulbs were 898, 720, 354, 405, 620, 54, 229, 306, 890. There were three more light bulbs that were still burning after 1000 hours. It is common to assume the life time of a light bulb follows an exponential distribution. With the observed data find the MLE of the parameter of the exponential distribution with EM

I am new to R and new to time series modeling. I have a set of variables (var1, var2, var3, var4, var5) for which I have historical yearly data. I am trying to use this data to produce a prediction of var1, 3 years into the future. I have a few basic questions: 1) I am able to read in my data, and convert it to a time series format using 'ts.' data_ts <- ts(data, start = 1988, end =

Recently, I was working with some lagged designs where a vector of observations at one time was used to predict a vector of observations at another time using a lag 1 design. In the work, I noticed a lot of negative correlations, so I ran a simple simulation with 2 matched points. The crude simulation example below shows that the correlation can be -1 or +1, but interestingly if you do this

Hello, So I am afraid I am having a recurring problem that I just can't figure out. I am using the plm package to conduct a panel analysis - although I am not sure if the problem is arising as a result of the plm package or something more general. I am trying to run a fixed effects model with effects over time and individual. The model has various lags, and the problem is that these lags do

I can't seem to get the longer battery tests to actually run: test.battery.start test.battery.start.deep Both appear to leave the battery voltage at line-power levels; while the quick test does have a notable voltage delta. Are there any other tests I can perform or ways that I can help gather data to get the longer tests supported? I borrowed a 60W light bulb (instead of one of the

Hi guys, I am afraid I am stuck with an estimation problem. I have two variables, X and Y. Y is explained by the weighted sum of n lagged values of X. My aim is to estimate the two parameters c(alpha0,alpha1) in: Yt = Sum from j=1 to n of ( ( alpha0 + alpha1 * j ) * Xt-j ) Where Xt-j denotes the jth lag of X. I came up with this approach because I thought it would be a good idea to estimate

Hi, I'm a pretty new Linux (Ubuntu) user, only a few weeks, and I few days ago I started having troubles with Wine. I posted this over at the Ubuntu Forums but haven't gotten a reply yet, so I thought I'd try here as well. I'll just quote my posts. First post: > First off I'm new to Linux, so sorry if you have to explain something twice to me. > > Basically my

Hi, running Asterisk 1.6.2.0 and have started to see in messages: [Jan 14 05:43:43] NOTICE[29231] chan_sip.c: Peer '100' is now Lagged. (4007ms / 3000ms) [Jan 14 05:43:53] NOTICE[29231] chan_sip.c: Peer '100' is now Reachable. (9ms / 3000ms) [Jan 14 05:44:02] NOTICE[29231] chan_sip.c: Peer '100' is now Lagged. (5008ms / 3000ms) [Jan 14 05:44:12] NOTICE[29231] chan_sip.c: