similar to: clustering of disturbances

Hi, all! Anyone know an easy way to specify the following model. Panel dataset, with stock through time, by firm. I want to run a model of y on a bunch of explanatory variables, and one dummy for each firm, which is 1 for observations that come from firm i, and 0 everywhere else. I have over 200 firms (and a factor variable that contains a firm identifier). Any easy way of going about

Dear List: I am estimating a gls model and am having to make some rather unconventional modifications to handle a particular problem I have identified. My aim is to fit a GLS with an AR1 structure, obtain the variance-covariance matrix (V), modify it as needed given my research problem, and then reestimate the GLS by brute force using matrix operations. All seems to be working almost perfectly,

I am trying to define a large number of variables through a loop construct. I have my loop variable i being cycled through 1:100 and I would like the variables produced by this to be called vi (i.e. v1 v2 v3 etc) so, for example I'm going: for(i in 1:100) { <blank> <- a[i:N] # or whatever else you want to put on the right side } where N is previously defined. What goes in

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

Hi! Sorry for asking a trivial questions, but I can't seem to figure this out. I have a dataframe called master containing 30-odd variables. In this dataframe, I have observations across these 30 variables from 1930 to 2003 (I've made a "year" variable). How can I drop all rows for which the year is less than 1960? I'm assuming something with ifelse() but I can't

Is it possible to simultaneously estimate mean and GARCH parameters in R? In other words, I would like to estimate the normal regression equation Y = b X + u and simultaneously do a garch process on the u's to correct the standard errors. I was thinking maybe something with systemfit(), but I can't quite come up with it. Thanks, Tobias --

Dear R users. I have zoo object "size_june" containing market-capital values: > dim(size_june) # market-cap data of 625 firms for 20 years [1] 20 625 > class(size_june) [1] "zoo" > size_june # colnames = "size.firmcode" size.34020 size.4710 size.11050 size.10660 size.9540 size.8060 size.16160 size.8080 size.9280 1988-06-30 NA

Hi, I'm getting the following error: "The mapped network drive could not be created because the following error has occured - there are currently no logon servers available to service the logon request" Any ideas? Kind Regards, Mark Parsons. Ernst & Young is proud to bring you Entrepreneur Of The Year - the prestigious global business awards for entrepreneurs.

Hi All - Quick question. Is there anyway that when a user first invokes Samba to map to a network share that they are asked to change their (samba) password. I've got a whole bunch of (samba) users who all have been given the same password and I want them to have to change it to one of their own choosing upon first login. Kind Regards, Mark Parsons Ernst & Young is proud to bring

Hi! I'm trying to do the following. I have monthly a dataset with, among other things, "marketcap", and "return". I want to multiply return by the marketcap of the previous month. How do I do this? In STATA (which I have used frequently in the past) I would simply use an expression of the form return[_n]*marketcap[_n-1] I believe they call this relative

Hi, everyone! Is there a function to do single-variable GARCH in R? If yes, what library is it in? Thanks! Toby -- ************************************************************************** When Thomas Edison invented the light bulb he tried over 2000 experiments before he got it to work. A young reporter asked him how it felt to have failed so many times. He said "I never failed once. I

A couple of questions: How to be sure that gls allowes errors to be correlated and/or have unequal variances? (is this on auto or is there a switch?) How to calculate confidence limits for a linear regresssion? -------------- next part -------------- A non-text attachment was scrubbed... Name: dthompson.vcf Type: text/x-vcard Size: 303 bytes Desc: Card for David Thompson Url :

Let's say I would like to look inside the function corBrownian in library (ape). When I type in the function name I get the following, which is not nearly the detail that goes into this function. I am wondering how to begin cracking this function open (and others) so I can learn more about it and perhaps code my own corClass one day. Thanks. > corBrownian function (value = 1, phy, form

Hi to all, In other statistical software, such as Eviews, it is possible to regress a model with the Least Squares method, assuming that the residuals follow an AR(q) process. For example the resulting regression is something like y = 1.2154 + 0.2215 x + 0.251 AR(1) How is it possible to do the same in R? Thank you very much in advance, Constantine Tsardounis http://www.costis.name

Dear listeRs, I'm finding that apply() behaves strangely when used on a 3-d array. For example: > at <- array(1:27,dim=c(3,3,3)) > at , , 1 [,1] [,2] [,3] [1,] 1 4 7 [2,] 2 5 8 [3,] 3 6 9 , , 2 [,1] [,2] [,3] [1,] 10 13 16 [2,] 11 14 17 [3,] 12 15 18 , , 3 [,1] [,2] [,3] [1,] 19 22 25 [2,] 20 23 26

Hi! I need to run ols regressions with Huber-White sandwich estimators and the correponding standard errors, without an intercept. What I'm trying to do is create an ols object and then use the robcov() function, on the order of: f <- ols(depvar ~ ind1 + ind2, x=TRUE) robcov(f) However, when I go f <- ols(depvar ~ ind1 + ind2 -1, x=TRUE) I get the following error: Error in

https://bugs.freedesktop.org/show_bug.cgi?id=100860 Bug ID: 100860 Summary: Dual Monitor display problem, after switching screen positions, with 4.10 Kernels Product: xorg Version: unspecified Hardware: x86-64 (AMD64) OS: Linux (All) Status: NEW Severity: critical Priority:

Hello, I would like to post the below position on your site. Thanks, Quantitative Analyst/Quantitative Developer MSIM Global Risk & Analysis, Quantitative Research & Model Review group Morgan Stanley Investment Management (MSIM), together with its investment advisory affiliates, has more than 680 investment professionals around the world and approximately $279 billion in assets under

I have a dataframe with many firm-year observations and many variables. Not all firms have information for all the years. I want another dataframe with only those firms that have information all years. This is, I want a balanced panel data, but with the maximum number of years. In my reprocucible example I want to keep firms 1,2 and 3 (period 2000 to 2004). I need your help to create a

Hi everyone! Thank you for the help you have been given to me, and here I'm with another problem with my dataframes: I have two dataframes (with much more observations), like these: Dataframe1 Firm Year cash 500400200 2007 100 500400200 2006 200 500400200 2005 400 500400300 2007 300 500400300 2006 240 500400300 2005 120 500400400