similar to: Need help to estimate the Coef matrices in mAr

h?, I am preparing undergraduate thesis If you help me this would make me feel good. First I need to analyze effect of Dow Jones Industrial average(DJIA)'s return on Istanbul Stock Exchange(ISE). I want to use Markov-Switching Bayesian Vector Autoregression Models (MSBVAR) that is used to examine the effect of a large economy?s stock exchange movement on a small economy?s stock exchange

Hi all, I'm looking for R packages that estimate multivariate time-series models or vector-autoregression (VAR) time-series models. Thanks David -- =========================================================================== David Kaplan, Ph.D. Professor Department of Educational Psychology University of Wisconsin - Madison Educational Sciences, Room, 1061 1025 W. Johnson Street Madison,

Folks, Is there any implementation available in R for the simultaneous selection of lag order and rank of a nonstationary VAR as described in Chao & Phillips (1999): Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, J. Econ. (91). Or any other systematic procedure for the consistent selection of lag order and cointegration rank? I

Dear r-users, Suppose I have two data sets data set-1 Date height ------------------------ 1/11/2005 10 2/11/2005 23 3/11/2005 54 4/11/2005 21 5/11/2005 22 data set-2 weight -------- 32 45 11 Now I want to combine this two data sets. i.e. i want to see: Date height weight ------------------------------------------- 3/11/2005 54

Dear aDVISOR, Hope I am not disturbing you. Can you tell me how I can perform Multivariate Garch analysis in R. Also please, it is my humble request let me know some resource materials on Multivariate Garch analysis itself. Sincerely yours, -- Arun Kumar Saha, M.Sc.[C.U.] S T A T I S T I C I A N [Analyst] Transgraph Consulting [www.transgraph.com] Hyderabad, INDIA Contact # Home:

Dear all R users, I want to insert the R logo in every graphic that I made in my Statistical analysis using R. Can anyone tell me whether is it possible or not and if possible how to do this? your help will be highly appreciated. Thanks and Regards, Arun [[alternative HTML version deleted]]

I have not been able to find any programs for running vector autoregressions with R. I am interested in running Bayesian VARs and also running VARs that run all combinations of variables in the vector. Is anyone currently developing this? -Nirav Mehta

Dear all, I have a variable 'x' like that: > x [1] "2005-09-01" Here, 2005 represents year, 09 month and 01 day. Now I want to create three variables naming: y, m, and d such that: y = 2005 m = 09 d = 01 can anyone tell me how to do that? Regards, [[alternative HTML version deleted]]

Dear R users, I would like to simulate, for 20000 replications, an autoregressive process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma), Thank you in advance ____________________________________________________ Écoutez gratuitement le nouveau single de Noir Désir et découvrez d'autres titres en affinité avec vos goûts musicaux

Hi all, I wrote some user defined function for my own. Now I want to get a mechanism so that every time I start R, those function will automatically be loaded in R without manually copying pasting. Can gurus here pls tell me how to do that? Or I have to build my own packages bundled with those functions. However I am not familiar in writing R package yet. Regards, [[alternative HTML version

Dear all R users, I am wondering whether there is any way to replace all "NA" values in a data frame by some numerical value, suppose 1000? Thanks and Regards [[alternative HTML version deleted]]

Hi all, I am wondering how to write a 'list' object to a file. I already gone through some threads like http://mail.python.org/pipermail/python-list/2001-April/080639.html, however could not trace out any reliable solution. I tried following : > write.table(calc, file="c:/data.csv") Error in data.frame("200501" = c(-0.000387071806652095, -0.000387221689252648, :

Dear all, It is not a R related problem rather than statistical/mathematical. However I am posting this query hoping that anyone can help me on this matter. My problem is to get the Geometrical Interpretation of Eigen value and Eigen vector of any square matrix. Can anyone give me a light on it? Thanks and regards, Arun [[alternative HTML version deleted]]

Here I am in a simulation study where I want to find different values of x and y such that f(x,y)=c (some known constant) w.r.t. x, y >0, y<=x and x<=c1 (another known constant). Can anyone please tell me how to do it efficiently in R. One way I thought that I will draw different random numbers from uniform dist according to that constraints and pick those which satisfy f(x,y)=c. However

Dear all R-users, I would like to draw a tangent of a given function for a particular (given) point. However the straight line representing it should not cut any axis, it should be a small line. Can anyone tell me how to do this? Thanks, Arun [[alternative HTML version deleted]]

Dear all r-users, Suppose I have two data frame: A 1 3 4 5 2 and B 5 6 3 5 Now I want combine this two data frames without losing any value from either data frame. More precisely I want to see A B 1 5 3 6 4 3 5 5 2 NA I tried with cbind function but failed, as it only works when two data frames have equal number of rows. Can anyone suggest me any code that can be used for any

Dear R users, I am trying to find a package that can estimate an autoregressive model for discrete data. I am imagining a Poisson or Gamma process in which the mean (say mu) follows a process such as mu_t = a + b*x + c*mu_{t-1} Suppose I have data on the time-series Poisson outcomes and x and would like to obtain ML estimates for b and c. Does anyone know of a package that can do this

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.

Suppose I have a Variance-covariance matrix A. Is there any fast way to calculate correlation matrix from 'A' and vice-versa without emplying any 'for' loop? [[alternative HTML version deleted]]

There is "if-else" loop if I have to choose 1 item from a 2-item list. However if I have a list of 4 items (let say) then how i can choose a single item without employing 'if-else' loop? I mean in VBA I can use "select-case", is there any equivalent in R as well? Regards, [[alternative HTML version deleted]]