similar to: ARCH LM test for univariant time series

Displaying 20 results from an estimated 400 matches similar to: "ARCH LM test for univariant time series"

2018 May 24
4
Manipulation of data.frame into an array
Hello everyone, I want to transform a data.frame into an array (lets call it mydata), where: mydata[[1]] is the first imputed dataset...and for each mydata[[d]], the first p columns are covariates X, and the last one is the outcome Y. Lets assume a simple data.frame: Imputed = data.frame( X1 = c(1,2,1,2,1,2,1,2, 1,2,1,2,1,2,1,2), X2 =
2006 Aug 25
2
horizontal direct product
II am translating some gauss code into R, and gauss has a matrix product function called the horizontal direct product (*~), which is some sort of variant on the Kronecker product. For example if x is 2x2 and y is 2x2 the horizontal direct product, z, of x and y is defined (in the Gauss manual) as: row 1 = x11*y11 x11*y12 x12*y11 x12*y12 row 2 = x21*y21 x21*y22 x22*y21 x22*y22 Or in R
2018 May 24
0
Manipulation of data.frame into an array
This is one of those instances where a less superficial knowledge of R's technical details comes in really handy. What you need to do is convert the data frame to a single (numeric) vector for, e.g. a matrix() call. This can be easily done by noting that a data frame is also a list and using do.call(): ## imp is the data frame: do.call(c,imp) X11 X12 X13 X14 X15 X16 X17 X18 X19
2006 May 29
1
TsayData
Hi, I'm trying to work with TsayData in fSeries package. How can i fetch any time series data of this package. Please advice. Thanks, Sumanta Basak. Send instant messages to your online friends http://in.messenger.yahoo.com
2009 Aug 23
1
study resources for time series?
Hi all, I am looking for study resources for (financial) time series? Hopefully I could find video lectures then it will reduce the learning curve. Thanks a lot! [[alternative HTML version deleted]]
2018 May 24
2
Manipulation of data.frame into an array
Hello everyone, Thank you for this. Nonetheless it is not exactly want i need. I need mydata[[1]] to provide the values for all 3 variables (Y, X1 and X2) of the first imputation only. As it stands it returns the whole database. Any ideas? Best, ioanna ________________________________ From: Bert Gunter <bgunter.4567 at gmail.com> Sent: 24 May 2018 16:04 To: Ioanna Ioannou Cc:
2000 Aug 14
5
Writing a workable function
After searching in R- Introduction, FAQ, help... I don't understand this: I write a function in a file (.R): tt <- function(mc) { date() mc<-read.csv2("machines.txt",na.strings="") date() } I source it in R and I type tt(). The answer is > tt() [1] "Mon Aug 14 11:18:25 2000" > The instructions following the first "date()" are ignored. Why?
2008 Feb 13
0
FinTS_0.2-7
Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory.
2008 Feb 13
0
FinTS_0.2-7
Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory.
2008 May 09
1
Which gls models to use?
Hi, I need to correct for ar(1) behavior of my residuals of my model. I noticed that there are multiple gls models in R. I am wondering if anyone has experience in choosing between gls models. For example, how should one decide whether to use lm.gls in MASS, or gls in nlme for correcting ar(1)? Does anyone have a preference? Any advice is appreciated! Thanks, -- Tom [[alternative HTML
2006 Nov 07
1
Comparison between GARCH and ARMA
Dear all R user, Please forgive me if my problem is too simple. Actually my problem is basically Statistical rather directly R related. Suppose I have return series ret with mean zero. And I want to fit a Garch(1,1) on this. my is r[t] = h[i]*z[t] h[t] = w + alpha*r[t-1]^2 + beta*h[t-1] I want to estimate the three parameters here; the R syntax is as follows: #
2013 Oct 16
7
Is there something wrong with R version 3.0.2 (2013-09-25) -- "Frisbee Sailing"?
Hi, pnorm(-1.53,0,1) under version 3.0.2 gives 0.05155075. I am pretty sure it should be 0.063. Is there something wrong with this version of R? I am using: R version 3.0.2 (2013-09-25) -- "Frisbee Sailing" Copyright (C) 2013 The R Foundation for Statistical Computing Platform: i686-pc-linux-gnu (32-bit) -- Tom [[alternative HTML version deleted]]
2007 Apr 27
1
acf and pacf plot
Hi, I noticed that whenever I ran acf or pacf, the plot generated by R always includes two horizontal blue doted lines. Furthermore, these two lines are not documented in the acf documentation. I don't know what they are for, but it seems that they are important. Could someone tell me what they are and how are they calculated? Thanks, -- Tom [[alternative HTML version deleted]]
2007 Dec 27
1
questions about plot.zoo
Hi, I have been having very good results using plot.zoo to chart time series data. But I have three questions about plot.zoo and I am wondering if anyone knows the answers. (1) when I tried to use semi-log scale, via log="y", R issued a warning, although it looked like plot.zoo plotted in semi-log scale anyway: Warning message: In plot.xy(xy.coords(x, y), type = type, ...) :
2006 Nov 01
4
Problem with data type recognition and conversion
Hi, I have a CSV file with two columns; the first column is date, second column is numbers. I used read.csv() to load the file into the variable temp. Somehow, R could not recognize my numbers as double. Instead, it thinks these numbers are integer even though they all have decimal points (isn't that strange?). The problem I ran into is that if I tried to convert the numbers to double using
2008 Jan 06
1
aggregate.ts help
Hi, I have a ts object with a frequency of 4, i.e., quarterly data, and I would like to calculate the mean for each quarter. So for example: > ts.data=ts(1:20,start=c(1984,2),frequency=4) > ts.data Qtr1 Qtr2 Qtr3 Qtr4 1984 1 2 3 1985 4 5 6 7 1986 8 9 10 11 1987 12 13 14 15 1988 16 17 18 19 1989 20 If I do this manually, the mean
2008 Jan 26
1
Is there a safe mode?
Hi, My R just froze. I can't get it to do anything. It gives "Error: band value" message to everything I type. Does anyone know if R has a safe mode that I could check for errors and perform diagnostics? I am using R 2.6.1 on Windows XP. > ls() Error: bad value > search() Error: bad value > ?ls Error: bad value > q() Error: bad value -- Tom [[alternative HTML version
2011 May 11
2
New code in R-devel: Rao score test for glm.
I have just committed some code to the r-devel branch to implement the Rao efficient score test. This is asymptotically equivalent to the LRT, but there is some indication that it might have better properties in smaller samples since it is based more directly on the distribution of the sufficient sums under the null hypothesis (e.g., if you have a divergent fit to the model under the alternative,
2008 Jan 24
2
plot help
Hi, Suppose I already have two plots on the same screen, and I want to draw lines in each of them. Is that possible in R? It seems that once you have two plots on the screen, you can only draw lines in the the last plot, never the 1st. Here is what I mean: #some data y1=rnorm(1:3) y2=rnorm(1:3) #draw two plots on the same screen par(mfrow=c(2,1),oma = c(6, 0, 5, 0)) par(mar=c(0, 5.1, 0, 5.1))
2007 Apr 08
1
How do I back transforme ordinary log-krigged prdiction values?
I have a question to everybody. After log10 transfprmation, I have done ordinary kriging in gstat in R? I need to back trnasform the prediction values to orgiginal scale. How do I do this in gstat in R? Thanks Zia -- Zia Uddin Ahmed 915 Brad Field Hall Department of Crop and Soil Cornell University Ithaca NY 14850 USA