similar to: cointegration analysis

Dear all, I am looking for a clustering method usefull to classify the countries in some clusters taking account of: a) the geographical distance (in km) between countries and b) of some macroeconomic indicators (gdp, life expectancy...). Are there some packages in R usefull for this? Thanks a lot for your help, Dorina

Test <b>Html</b> code as there is no <pre> Preview </pre> button -- Posted via http://www.ruby-forum.com/.

Dear all, S+Finmetrics has a number of very specilised functions. I am particularly interested in the estimation of cointegrated VARs (chapter 12 of Zivot and Wang). In this context the functions coint() and VECM() stand out. I looked at package "dse1", but found no comparable functionality. Are there any other packages you could point me to? In general, are there efforts for

Hello, I want to know if there are some functions or packages to solve differential and integral equation using R. Thanks. Shao chunxuan. [[alternative HTML version deleted]]

[offtopic] btw, is there something wrong with the domain? i couldn''t reach the site, my browser said the hostname lartc.org (or www.lartc.org) doesn''t exist, i had to dig up the ip address through whois, lookups and stuff. [/offtopic]

Hi, Could someone please tell me the R codes for fitting VAR(p) (Vector Auto Regressive) models and doing the Johansen?s cointegration tests. TIA Aditya

Hi, I have a couple of questions about johansen's test, in general: 1. I was able to obtain error correction term (ect) from cajorls$rlm$model properly. According the my ca.jo object on 2-variate series, the test suggests that the integration rank is 1. Which means that my ect should be stationary. However, I did test stationariy on ect and it shows non-stationarity and my acf still shows

I am trying to run a conintegration analysis. I am a former user of S-Plus and understand the output of the coint and VECM output, but I am having trouble understanding the equivalent output in R. Here is what I ran > coint=ca.jo(data,constant=T,K=2,spec="longrun") > summary(coint) The first portion of the output that I did not understand [,1] [,2] [,3] y1

Dear R Core Team, I am using package {urca} to do cointegration and estimate ECM model, but I have the following two problems: (1) I use ca.jo() to do cointegration first and can get the cointegration rank, alpha and beta. The next step is to test some restrictions on beta with blrtest(),bh5lrtest(), and bh6lrtest(). But none of them can add restrictions on all the cointegration

Hello! I'm using the blrtest() function in the urca package to test cointegration relationships. Unfortunately, the hypothesis (restrictions on beta) specifies the same restriction on all cointegration vectors. Is there any possibility to specify different restrictions on the cointegration vectors? Are there any other packages in R using cointegration tests? Thanks and best regards. Dennis

Hi - i am looking for a package with which I can perform panel cointegration tests. Old threads suggest plm and urca package, but I don't find suitable tests in these packs. Somebody knows more? best regards, Philipp -- View this message in context: http://r.789695.n4.nabble.com/panel-cointegration-tp4593443p4593443.html Sent from the R help mailing list archive at Nabble.com.

Hi all, I am looking for low cost online education in statistics. I am thinking of taking online classes on time series analysis and cointegration, etc. Of course, if there are free video lectures, that would be great. However I couldn't find any free video lectures at upper-undergraduate and graduate level which formally going through the whole timeseries education... That's why I would

Dear R - helpers, I am using the urca package to estimate cointegration relations, and I would be really grateful if somebody could help me with this questions: After estimating the unrestriced VAR with "ca.jo" I would like to impose the rank restriction (for example rank = 1) and then obtain the restricted estimate of PI to be utilized to estimate the VECM model. Is it possible? It

Dear folk, I am stempting to estimate a vector error correction model using a seemingly fractionally integrated multivariate time series. The *fracdiff *package provides tools to estimate degree of fractional integration. But *fracdiff *can't help me to: 1. test equality of two degrees of fractional integration, say d1=d2? 2. estimate a multivariate cointegrating error correction model,

hello, i have a question concerning the locking feature of samba (both 2.2.8 and 3.0.0) that i haven't found answered in the documentation. at this point i am not sure, whether it's a bug in samba, the client applications or simply a misunderstanding of the locking feature itself on my part - at any rate it's a pressing problem, as my clients are losing both their data as well as

Hi, I am trying to estimate a VECM without constant using the following code: data(finland) sjf <- finland sjf.reg<-ca.jo(sjf, type = c("eigen"), ecdet = c("none"), K = 2,spec=c("transitory"), season = NULL, dumvar = NULL) cajools(sjf.reg) While the cointegration test does not use a constant, it is used in the cajools which I do not want. I am sure I am

Hello, I''ve got puppet installed and working. I''m looking for a way to update software on OS X desktops. I have successfully set up the appdmg package provider, and I can update an application. How do you manage installs? I want to update an application but not when the user is using the application. Is there a way to check if an application is running and do the package

From: Sui Jingfeng <suijingfeng at loongson.cn> Currently, the default VGA device selection is not perfect. Potential problems are: 1) This function is a no-op on non-x86 architectures. 2) It does not take the PCI Bar may get relocated into consideration. 3) It is not effective for the PCI device without a dedicated VRAM Bar. 4) It is device-agnostic, thus it has to waste the effort to

Hello, I am using urca package to run cointegration. I would like to find the standard error in the (normalized, Johansen) cointegration relationship. How can I do it? As far as I know, The function "cajorls" in the "urca" package provides the normalized cointegrating relationships. Nevertheless, it does not provide the standard deviation of the coefficient for each

I'm tring the functions to check the cointegration of a matrix. I'm using **Phillips & Ouliaris Cointegration Test** The function in *tseries* package is **po.test** and **ca.po** in *urca* The results with **URCA** are: > ca.po(prices, demean='none') ######################################## # Phillips and Ouliaris Unit Root Test #