Displaying 20 results from an estimated 1000 matches similar to: "vector autoregression"
2011 Sep 30
0
All subsets vector autoregression with exogenous variables
Hi,
I am trying to fit all subsets for a vector autoregression with exogenous
variables. I have been looking at the 'leaps' function but I not sure how
to get it to work when lags for each variable are included in the model. I
would be really appreciative if someone could provide some links to
examples. Thanks in advance!
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2012 Nov 21
0
Question about VAR (Vector Autoregression) in differences.
Folks,
I have been using the VAR {vars} program to find a fit for the following bi-variate time series (subset):
bivariateTS<-structure(c(0.950415958293559, 0.96077848972081, 0.964348957109053,
0.967852884998915, 0.967773510751625, 0.970342843688257, 0.97613937178359,
0.980118627997436, 0.987059493773907, 0.99536830931504, 1.00622672085718,
1.01198013845981, 1.01866618122606,
2008 Nov 25
0
Vector autoregression, panel data
Hi! I'm a new R user and I have a question about estimating VAR on a panel
data. What I'm trying to do is to explain stock's volume on it's lagged
volume, it's lagged returns and lagged market return's (and vice versa). In
addition I have generated an exogenous variable controlling for stock's
volatility. Some of you may be familiar with this experiment since it
follows
2006 Dec 20
2
Kalman Filter in Control situation.
I am looking for a Kalman filter that can handle a control input. I thought
that l.SS was suitable however, I can't get it to work, and wonder if I am
not using the right function. What I want is a Kalman filter that accepts
exogenous inputs where the input is found using the algebraic Ricatti
equation solution to a penalty function. If K is the gain matrix then the
exogenous input
2008 Mar 26
1
Simulate ARX model.
I have obtained from transfer functions, the state space matrices for the following state space model.
x* = Ax + Bu
y = Cx + Du
I have A, B, C, and D, now I would like to take the exogenous inputs and simulate the data using the state space model. I know there is a simulate function in the package dse1, but I am unsure as to what type of TSmodel to create to put into it. Could anyone give me
2009 Nov 27
0
VAR forecasts and out-of-sample prediction
Dear users,
I am struggling with this issue. I want to estimate a VAR(1) for three
variables, say beta1 beta2 beta3, using monthly observations from January
1984 to September 2009. In-sample period January 1984 to December 2003,
out-of-sample January 2004 to September 2009. This is what I have done at
the moment
2004 Jul 25
1
Multivariate ARMA Model
Hi R-Community,
so far I dealt with univariate processes and used the function "arima" to
estimate an ARMA(1,1)-model. For multivariate processes there are the
functions "estVARXar" and "estVARXls" from package "DSE". But how can I
estimate an VARMA(1,1)-model, or even better determine the orders and
estimate the parameters?
Much thanks in advance,
Hagen
2005 Jun 14
1
using forecast() in dse2 with an ARMA model having a trend component
(My apologies if this is a repeated posting. I couldn't find any trace
of my previous attempt in the archive.)
I'm having trouble with forecast() in the dse2 package. It works fine
for me on a model without a trend, but gives me NaN output for the
forecast values when using a model with a trend. An example:
# Set inputs and outputs for the ARMA model fit and test periods
2011 Apr 04
1
simulating a VARXls model using dse
Hello,
Using the dse package I have estimated a VAR model using estVARXls().
I can perform forecasts using forecast() with no problems, but when I
try to use simulate() with the same model, I get the following error:
Error in diag(Cov, p) :
'nrow' or 'ncol' cannot be specified when 'x' is a matrix
Can anyone shed some light on the meaning of this error? How can I
2003 Apr 21
2
Anyone Familiar with Using arima function with exogenous variables?
I've posted this before but have not been able to locate what I'm doing
wrong. I cannot determine how the forecast is made using the estimated
coefficients from a simple AR(2) model when there is an exogenous
variable. Does anyone know what the problem is? The help file for arima
doesn't show the model with any exogenous variables. I haven't been able
to locate any documents
2005 Dec 23
1
dse package problems
I am having problems with the package dse. I just installed R 2.2.1
and reinstalled all packages. I am running Windows XP Pro with all
updates.
Below there are two examples of error messages generated when trying
to execute some simple programs. The code was taken directly from the
package documentation.
Any help on this will be greatly appreciated.
Merry Christmas
Fernando
2004 Feb 26
1
unable to install dse in mac OS X 10.3
I would like to request help with the installation of dse in raqua in mac
os x 10.3. I get the following error message after the messages indicating
that parts were successfully installed.
I would be most grateful for a solution.
-----------------------------------------
* Installing *source* package 'setRNG' ...
** R
** inst
** help
>>> Building/Updating help pages for
2012 Jun 18
0
Obtaining r-squared values from phylogenetic autoregression in ape
Hello,
I am trying to carry out a phylogenetic autoregression to test whether my
data show a phylogenetic signal, but I keep calculating bizzare R-squared
values.
My script is:
> library(ape)
> x <-
2003 Apr 16
0
arima function - estimated coefficients and forecasts
I'm using the arima function to estimate coefficients and also using
predict.Arima to forecast. This works nicely and I can see that the
results are the same as using SAS's proc arima.
I can also take the coefficent estimates for a simple model like
ARIMA(2,1,0) and manually compute the forecast. The results agree to 5
or 6 decimal places. I can do this for models with and without
2012 Feb 01
0
AutoRegression with Subset of Lags/Coefficients
Hi,
In order to produce an autoregression where only certain lags are allowed,
specified in advance (e.g. c(1,2,5) ), I have found it necessary to look
beyond the standard [ar] function, thankfully discovering the [FitAR]
package, wherein the [FitARp] function provided exactly that capability.
However for my problem at hand, [FitARp] is vastly slower than [ar] -
taking hours rather than minutes.
2009 Jun 23
0
Vectorize linear autoregression with variable coefficients
This might be obvious to some, but I can't find a neat way to do it:
Say I have two (very long) numerical vectors a & b of the same length
representing variable coefficients of a linear autoregression.
I want to calculate vector x defined by
x[1] <- b[1]
for (n in 2:length(a)) x[n] <- a[n]*x[n-1] + b[n]
Is there a way to do this vectorially, i.e. without using the 'for'
2009 Oct 06
0
Bifurcating Autoregression
Is there any R package that implements a bifurcating autoregression,
aka the BAR(n) model? I've been reading the Huggins and Staudte paper,
"Variance Components Models for Dependent Cell Populations", from the
Journal of the American Statistical Association, 1994.
Shawn Garbett <shawn.p.garbett at vanderbilt.edu>
Vanderbilt Cancer Biology
220 Pierce Ave, PRB 715AA
2011 Nov 18
1
autoregression
Hi,
I am new to R and looking to do auto-regression / ARIMA type modeling. My
data has both date and time which I need to combine into a single date-Time
value. The time steps are unequal. What package is best for doing the
regression and plotting the predicted values against the actual data?
Also, what format does my data need to be in when I use the package? For
example, I looked at the
2004 Feb 15
1
Error Installing dse Package
Hi there,
I ran into some trouble trying to install the dse library on os 10.3
with RAqua as the installation of the dse1 package failed. On the R
console I got the error message
Warning message:
Installation of package dse had non-zero exit status in:
install.packages(ui.pkgs, CRAN = getOption(where), lib =
.libPaths()[1])
>
and the console of the os x said
gcc -bundle -flat_namespace
2009 Nov 16
1
ARMAX model fitting with arima
I am trying to understand how to fit an ARMAX model with the arima
function from the stats package. I tried the simple data below, where
the time series (vector x) is generated by filtering a step function
(vector u, the exogenous signal) through a lowpass filter with AR
coefficient equal to 0.8. The input gain is 0.3 and there is a 0.01
normal white noise added to the output:
x <- u