[R] Forecasting with Panel Data

Dear Users, Can I perform panel data (fixed effects model) out of sample forecasts using R? Thanks in advance, Ricardo. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help

[R] Bootstrap Multivariate Times Series Forecast

Dear Users, Consider a multivariate time series model: a_1*y(t)-...-a_k*y(t-k)=b+[c_1*z(t)-...-c_j*z(t-j)] i.e., a simple multivariate time series model with one exogenous variable. I would like to know what package can I use to do the following, using R: 1) Select k and j jointly; 2) Estimate

[R] scatterplot in Package CAR

Hi Folks, Please, when I ask the option reg.line at the scatterplot in package car, the OLS models includes a constant? If not how can I do it sing the following code: scatterplot(lfirms ~ lscale, data=dataset, reg.line=lm, smooth=FALSE, labels=FALSE, span=0.5, xlab=Relative

Re: [R] Functions for QUAIDS and nonlinear SUR?

Werner, I know that S-Plus package Finmetrics has a NLSUR function. This is a commercial package, but maybe if you write the authors asking for code only, or some hints... Rick -- From: Werner W. pensterfuz...@yahoo.de Sent: Friday, January 08,

[R] Credit Migration Matrix

Hi user, I would like to know how can I compute credit rating migration matrix using R. I have 10 years data (monthly rates for each firm) and I would like to compute 12 (and more) months ahead migrations. Any hints? Best Rick [[alternative HTML version deleted]]

Re: [R] R and Finance - EAD, LGD, PD

, December 27, 2009 11:13 PM To: Cedrick W. Johnson Cc: Ricardo Gonçalves Silva ; R-Help Subject: Re: [R] R and Finance - EAD, LGD, PD i think rick's questions are more related to basel II instead of R and don't think there is such a R package. per my limited knowledge, there are many ways

[R] R and Finance - EAD, LGD, PD

Hi, I'm currently beginning to use R for financial analysis (mainly Basel II benchmarks) and I would like to know if any R-User can give me some initial directions on packages and tutorials which I can use to calculate capital requirements, default probabilities, and related stuff. Thanks in

[R] Problem with zoo and BootPR packages

Hi, I'm trying to plot the forecasts I generated using the Plot.Fore function of the BootPR package. But I got an error from zoo: My data: Time Series: Start = 1 End = 18 Frequency = 1 [1] 38731 38628 39117 92809 71984 31226 58613 72360 107956 92066 [11] 95208 99098 95848

Re: [R] Problem with zoo and BootPR packages

Ok, Thanks all. Rick. -- From: Achim Zeileis achim.zeil...@wu-wien.ac.at Sent: Thursday, November 19, 2009 3:06 PM To: Ricardo Gonçalves Silva ricard...@terra.com.br Cc: R-Help r-help@r-project.org; j@latrobe.edu.au Subject: Re: [R] Problem

Re: [R] variable selectin---reduce the numbers of initial variable

of your problem? HTH, Rick -- From: Frank E Harrell Jr f.harr...@vanderbilt.edu Sent: Thursday, November 05, 2009 4:12 PM To: Ricardo Gonçalves Silva ricard...@terra.com.br Cc: bbslover dlu...@yeah.net; r-help@r-project.org Subject: Re: [R] variable

Re: [R] variable selectin---reduce the numbers of initial variable

Hi, Nowdays there's a lot o new variable selection methods, specially using the Bayes Paradigm. For your problem, I think you could try the Bayesian Model Average BMA package. Or, you can reduce your data dimension by PCA, which also permits you see the weight of each variable in the PC.

[R] Help with a Loop in function

Dear Users, I follow Andreas idea to simulate an ar(1) model with a new kind of innovation process. The new argument rand.gen, for the arima.sim function, I'm trying to generate as: tGarchGen - function(a, b, c) { # must return a vector of random deviates (eta(t)) for (t in 1:100){

Re: [R] AR Simulation with non-normal innovations - Correct

Thanks Andreas. This is just the start point I was needing. Best, Rick From: Andreas Hary Sent: Tuesday, November 03, 2009 7:19 AM To: Ricardo Gonçalves Silva Subject: Re: [R] AR Simulation with non-normal innovations - Correct Have a look at function arima.sim. It allows you to specify

[R] AR Simulation with non-normal innovations

Dear Users, I would like to simulate AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. By t-GARCH I want to mean that: e_t=n_t*sqrt(h_t) and h_t=ct2+a*(e_t)^2+b*h_t-1. If someone could give some guidelines, I can going developing the

[R] AR Simulation with non-normal innovations - Correct

Dear Users, I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. By t-GARCH I want to mean that: e_t=n_t*sqrt(h_t) and h_t=ct2+a*(e_t)^2+b*h_t-1. where n_t is a random variable with t-Student distribution. If