similar to: fMultivar OLS - how to do dynamic regression?

Hi, I tried to install fMultivar package but an error occurs that I could not understand. (I've been worked with linux / Ubuntu 6.06 LTS) > install.packages("fMultivar") Warning in install.packages("fMultivar") : argument 'lib' is missing: using /usr /local/lib/R/site-library --- Please select a CRAN mirror for use in this session --- Loading Tcl/Tk

Hello, I would like to use the function EWMA() in the fMultivar Package and I have a series of data x, which is the returns series. Basically, I would like to get the variance estimation using EWMA. I am trying something like EWMA(x, lambda) and I have a couple of questions: Should x be the returns series or price series in my case? When I get the result, there are the same numbers of data

Dear R users a problem I encountered while installing fMultivar, I would appriciate any help with this. > install.packages ("fMultivar", dependencies=TRUE) Warning in install.packages("fMultivar", dependencies = TRUE) : argument 'lib' is missing: using /usr/local/lib/R/site-library also installing the dependencies 'fBasics',

Hi Folks! I seem to be having a problem with alignDailySeries in Rmetrics: DTB6<-fredSeries("DTB6",frequency = "daily",from = "1980-01-01") trying URL ' http://research.stlouisfed.org/fred2/series/DTB6/downloaddata/DTB6.txt' Content type 'text/plain; charset=UTF-8' length 248392 bytes (242 Kb) opened URL downloaded 242 Kb Read 13060 items

I submitted this to rmetrics help list as well... I've been using R-2.4 with Rmetrics successfuly for a year or two. I recently moved to Ubuntu Linux 8.04, loaded R via apt-get install R-base etc. etc... then in the R interface i ran install.packages("fMultivar"), chose the CRAN mirror and it loaded fMultivar and all the required dependecies. However, when I try to run the same

hello R experts, my question is regarding arma modelling and specification. in another older, statistics package , after determining stationarity, i would try to work out the number of ar and ma lags using an lm test. to do this i would 1. regress my dependant variable on an intercept term then 2. use LM test for serial correlation, and finally 3. use the p value of the ols residuals to get

Hi Folks! I'm reading in some data from a .csv file that has a date column. How do I use colClasses to get read.csv to recognize the date column? The documentation on this seems to be nil - And yes, I've read help and R Data Import/Export and can't figure out what the colClasses syntax is. Thanks, john [[alternative HTML version deleted]]

AA> In 2008, I have spotted some errors in a package, one which is AA> likely to have many users (I am not one myself). The more serious AA> errors are in the documentation, since they lead to a completely AA> distorted interpretation of the outcome; in addition, there is (at AA> least) one programming error which produces some wrong AA> computations. A few weeks later, the

All: How do I obtain one step ahead out-of-sample forecasts from a model using "dyn" or "dynlm" ? Thanks! Best, John [[alternative HTML version deleted]]

Hi there, Does anyone know how to predict ARMA? It doesn?t have either predict or forecast methods. I found couple of packages called fbasic and fseries at http://www.itp.phys.ethz.ch/econophysics/R/, which has ?arma.predict? in it, but it doesn?t seem to be working. Any help in this regard would be appreciated. Thanks in advance. Regards Skanda Kallur "Prediction is very difficult,

Hi folks! How do I extract lags from a formula? An example: mod.eq<-formula(x~lag(x,-1)+lag(x,-2)) > mod.eq x ~ lag(x, -1) + lag(x, -2) > mod.eq[1] "~"() > mod.eq[2] x() > mod.eq[3] lag(x, -1) + lag(x, -2)() I'm trying to extract the lags into a vector that would be simply [1,2]. How do I do this? I'm using the dyn package to do dynamic

In the process of learning R, with a specific interest on financial time series. While I continue to get through the documents I am more a fan of learning by example and then looking up how each function is used. Any websites which post sample code for R? Thanks in advance. -- Jonathan jqm475 at gmail.com

Hello! I installed the fSeries package to get some farima time-series which i tried with farimaSim, but unfortunately i got always an error. I tried it this way: > farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), method="freq") Error in farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), : ... used in an incorrect context Some ideas? Regards, ___

Hi Folks! I'm struggling with dates - but enough about my personal life..... I have two daily time series files. In one (x) the date format is Y/m/d and the other (y) is d/m/y. I used read.zoo on both and they read into R with no problem. Then I use: weekdays(as.Date(x$DATE)) and get what I expect - all the days of the week in my data set. When I use:

Helo, please look at the log below: after loading the fSeries library, I can not use the log function. Is this a bug or what am I doing wrong? Because of this, I'm unable to use the garch library. thanks a lot for any help, Balazs Torma > log(1) [1] 0 > require("fSeries") Loading required package: fSeries Loading required package: robustbase Loading required package:

I have a problem with garchFit fuction in fSeries package. I found the following reply on one of the R list: "GARCH-Modelling is not easy, and indeed for your dataset the default "Sequential Quadratic Programming" solver doesn't converge. I observed this also for some other time series. There is already an updated version on the server,

Hello all, When I tried to install fSeries in R, I got the following error messages: install.packages("fSeries",dependencies=T) Warning message: package 'fSeries' is not available (for R version 2.15.2) Is this package changing/merging to another package? Thanks, Rebecca ---------------------------------------------------------------------- This message, and any

Hi all, I post it on both r-help and r-finance since I don't know where is most appropriate for this topic. Sorry if it bothers you. I did garch fitting on S&P500 monthly returns with garchFit from fSeries. I got same coefficients from all cond.dist except normal. I thought that is probabaly usual for the data. But when I play with it, I got another question. I plot skew normal with

fSeries Technical Analysis rsiTA problem Hello, I?m trying to use the rsiTA() function but keep getting this error: >rsiTA(tsx,14) Error in "[.timeSeries"(close, 1:(length(close) - 1)) : only 0's may be mixed with negative subscripts Here?s is the first three lines of my data: >tsx[1:3,] close 2004-04-18 20:00:00 8702.82 2004-04-19

Hello, I am getting the following error message from unitrootTest. Do you have any clue of what could be wrong. Details: AMD64 (x86_64) Gentoo Linux system. library(fSeries) kmodel <- list(ar=c(.3,0,0,0,0.7,-.4*.7),d=1) x=armaSim(nobs,model=kmodel) unitrootTest(x,trend="c",statistic="t",method="adf",lags=2) Error in file(file, "r") : unable to open