.
From: R-help <r-help-boun...@r-project.org> on behalf of John Dougherty
<j...@surewest.net>
Sent: 24 February 2017 00:46
To: r-help@r-project.org
Subject: Re: [R] vars package - irf() does not work
On Wed, 22 Feb 2017 09:57:00 +0000
"T.Riedle" <tr...@kent.
Dear all,
I have not received any response on this email. Is there anybody who can help
me?
I want to run an impulse response analysis using the vars() package. The code
looks as follwows.
# list of class varest
varest.USA<-VAR(VAR_analsis_DataUSA, lag.max = 24, ic = "SC", type = "both")
Dear all,
I want to run an impulse response analysis using the vars() package. The code
looks as follwows.
# list of class varest
varest.USA<-VAR(VAR_analsis_DataUSA, lag.max = 24, ic = "SC", type = "both")
varest.USA
summary(varest.USA)
#Run irf analysis
irf.USAg<-irf(varest.USA,
Dear all,
I want to run a regression using coeftest() in combination with the waldtest()
function from the lmtest package. I am confused about the argument vcov. The
coeftest uses vcov. whereas according to the manual waldtest uses vcov and I am
not sure about the difference between vcov. in
Dear all,
I am trying to replicate the Canada example in the vars vignette.
Unfortunately, the irf() does not work. R returns following error:
unused arguments (response = "U", n.ahead = 48, boot = TRUE)
Why is the example not working?
[[alternative HTML version deleted]]
Dear all,
I want to run a regression using lm() with Newey West corrected standard errors.
This is the code
Reg<-lm(g~sent + liquidity + Cape, data=dataUsa)
CoefNW<-coeftest(Reg, vcov.=NeweyWest)
CoefNW
In contrast to summary(Reg) the output of CoefNW neither returns the adjusted R
squared
Dear all,
I am trying to download MTS package but when I call it using library() I get
the error below. I have already installed the Rcpp package. What is wrong? What
must I do to open the MTS package?
Error in loadNamespace(i, c(lib.loc, .libPaths()), versionCheck = vI[[i]]) :
there is no
Dear all,
I am trying to download MTS package but when I call it using library() I get
the error below. I have already installed the Rcpp package. What is wrong? What
must I do to open the MTS package?
Error in loadNamespace(i, c(lib.loc, .libPaths()), versionCheck = vI[[i]]) :
there is no
anger-causes e, U and rw,
respectively i.e. how can I determine that prod Granger-causes e, U and rw?
Thanks for your support in advance.
____
From: Pfaff, Bernhard Dr. <bernhard_pf...@fra.invesco.com>
Sent: 23 January 2017 09:12
To: T.Riedle; R-help@r-project.org
Subject: AW: [R] Gran
Dear R-users,
I am trying to compute the test statistics for Granger-causality for a VAR(p)
model using the "vars" package. I simply used the example proposed by the vars
vignette and added the code for the Granger-causality. The code looks as follows
library(vars)
Canada<-Canada[,
Dear R users,
I am trying to do a Principal Components Analysis using the prcomp() function
based on the correlation matrix. How can I determine to calculate PCA on a
correlation or covariance matrix using prcomp()?
Thanks in advance.
[[alternative HTML version deleted]]
;
Sent: 15 October 2016 11:06
To: T.Riedle
Cc: R-help@r-project.org
Subject: Re: [R] Return.clean () - PerformanceAnalytics package
Hi T,
Have you tried converting "clearntest" or "data" into a time series?
Jim
On Sat, Oct 15, 2016 at 4:47 AM, T.Riedle <tr...@kent.ac.uk
Dear all,
I am trying to clean return data using the Return.clean() function in the
PerformanceAnalytics package. Hence, my code looks as follows but I get an
error message.
cleantest <- read.csv("D:/Studie_vola_difference/cleantest.csv")
data<-as.vector(cleantest)
Dear R users,
I am trying to export my results to excel using write.xls or write.table but I
cannot install the packages.
Instead, I get the message
Warning in install.packages :
package 'write.table' is not available (for R version 3.3.1)
What can I do?
[[alternative
Dear R-users,
I am trying to do a principal components analysis using the attached data. My
code looks as follows. I want to calculate the time series of the principal
components (PC) . To this end, I transform the coefficients and the data into
matrices and employ a matrix multiplication but
Dear all,
I am currently working with the "jvnVaR" package and I need to explain the
assumptions behind the function jVaR().
Is there a function in R which calls the code behind a function?
Kindest regards
[[alternative HTML version deleted]]
Dear all,
As I am working on Value at Risk, I am looking for an appropriate package to
calculate Value at Risk using different methods beyond the historical method.
In doing so, I have found the package jvnVaR which provides several methods to
calculate VaR. Nevertheless, I am interested in
Dear all,
I am trying to run the seas() function. If I run the seas() function as shown
below I get following errors. What is wrong with my code?
> data<-Shiller_data[,2]
> ts<-ts(data,start=c(1871, 01), end=c(2015, 12), frequency=12)
> ts
Jan Feb Mar Apr May
Dear all,
I am trying to run the seas() function. In doing so, I need an object of class
"ts". I tried to generate an ts object using the ts() function but it does not
work.
Does anyone have an idea how to generate an ts object. In addition, I get the
error that there are too many observations
frames, a
data frame object, a list object of data frames.
-Original Message-
From: David Winsemius [mailto:dwinsem...@comcast.net]
Sent: 17 June 2016 19:27
To: T.Riedle
Cc: peter dalgaard; R-help@r-project.org
Subject: Re: [R] extracting coefficients from ar() output
> On Jun 17,
quot;R.xls", SheetNames = test)
Unfortunately, it doesn't work. How can I export the data to Excel?
-Original Message-
From: peter dalgaard [mailto:pda...@gmail.com]
Sent: 16 June 2016 18:49
To: William Dunlap
Cc: T.Riedle; R-help@r-project.org
Subject: Re: [R] extracting coeffic
Hi everybody,
I am trying to run an AR1 model using the ar() function as shown below.
> rollingarma<-rollapply(data,width=36,function(data) ar(data,aic=TRUE))
> head(rollingarma,50)
order arvar.pred x.mean aicn.used order.max partialacf
resid methodseries
Sorry, I forgot to attach the file.
Dear R users,
I have not received any help regarding my problem.
The rolling window AR1 model returns an error if I run my code as follows:
data<-GSDAF[,2]
rollingarma<-rollapply(data,width=36,function(data)
Dear R users,
I have not received any help regarding my problem. The rolling window AR1 model
returns an error if I run my code as follows:
rollingarma<-rollapply(data,width=36,function(data)
coef(arima(data,order=c(1,0,0
Error in arima(data, order = c(1, 0, 0)) :
non-stationary AR part
Dear R users,
I am trying to run a rolling window AR1 model by combining the rollapply() with
the arima() function. Hence, my code looks as follows:
rollingarma<-rollapply(data,width=36,function(data)
coef(arima(data,order=c(1,0,0
Error in arima(data, order = c(1, 0, 0)) :
non-stationary
mmand. Which weights does this command
apply, which bandwith and which kernel?
Kind regards
____
From: Achim Zeileis <achim.zeil...@uibk.ac.at>
Sent: 31 May 2016 17:19
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
O
git into the waldtest() function.
Does that work to get chi2 under HAC standard errors?
From: Achim Zeileis <achim.zeil...@uibk.ac.at>
Sent: 31 May 2016 13:18
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
On Tue, 31
r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote:
> Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu:
>> On Sat, 28 May 2016, T.Riedle wrote:
>> > I thought it would be useful to incorpo
Dear R users,
I am trying to run a logistic regression using zelig. The simple logistic
regression works well but now I want to have HAC robust standard errors. I have
read in the manual that there is an option called "robust" and that zelig()
computes robust SE via the sandwich package.
Dear R users,
I am running a logistic regression using the rms package and the code looks as
follows:
crisis_bubble4<-lrm(stock.market.crash~crash.MA+bubble.MA+MP.MA+UTS.MA+UPR.MA+PPI.MA+RV.MA,data=Data_logitregression_movingaverage)
Now, I would like to calculate HAC robust standard errors
20:04
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] Generating 3Dplot in lattice package
For starters, use 'pmin' (parallel min) instead of 'min'.
substitute(MIN(psi/K14,EXP(((ABS(H14)/peak)^omega)*LN(psi/K14))),
list(MIN=quote(pmin), K14=quote(VaR), ABS=quote(abs),
EXP=quo
Dear R users,
I am trying to backtest VaR using the rugarch package. My code looks as follows
VaRTest(alpha=0.025,Backtesting_BuVaR$Log.return,Backtesting_BuVaR$VaR,conf.level
= 0.975)
R returns following output. I don't understand why I get NAs except for the
critical values.
Does anyone have
Dear R users,
I am trying to generate a 3D plot using the wireframe() function in the lattice
package.
The corresponding formula in Excel looks as follows and is applied to the
wireframe() function:
MIN(psi/K14,EXP(((ABS(H14)/peak)^omega)*LN(psi/K14)))
I tried to "translate" this formula in
Dear R users,
I am trying to generate a 3D surface plot given the inflator formula in the
attached file.
Now, I want to create a 3D plot showing how Delta changes with the values of
Abs(B) and sigma. The other variables in the formula are constant. Delta is
calculated daily therefore the
Hi everybody,
I am trying to run a logistic regression using the rms package. Here is the
output of my model.
Logistic Regression Model
lrm(formula = stock.market.crash ~ crash.t.1.to.t.L + MA.inflator.monthly +
realized.volatility.10 + MA.MP.100 + MA.UI.100 + MA.DEI.100 +
MA.UPR.100,
Dear R users,
I would like to install the stats package but I get the message
Warning in install.packages :
package 'stats' is not available (for R version 3.2.3)
How can I install stats without changing my R version? Is there an alternative
package?
Thanks for your help.
Dear all,
I am trying to backtest my VaR model in R using the rugarch package. Hence, I
am trying to plot the VaR exceedances using following code from the rugarch
package:
VaRplot(alpha=0.025,actual = returns,VaR = VaR,ylab = "daily log returns",xlab
= "date")
Unfortunately, I get this
Dear all,
I am working with the rugarch package which requires xts objects. I have
installed the xts package to convert my dataset from .csv to a xts object but
it does not work. My code looks as follows:
VaRxts <- as.xts(VaR,order.by ="Date")
Error in xts(x, order.by = order.by, frequency =
Greetings R Community,
I am running quantile regressions using quantreg in R. I also plot the
residuals in a QQplot which indicate fat tails. I would like to try using
Student distribution, but I do not know if the R software allows it for my task
in hand.
In my opinion it is very likely that
Greetings R Community,
I am running quantile regressions using quantreg in R. I also plot the
residuals in a QQplot which indicate fat tails. I would like to try using
Student distribution, but I do not know if the R software allows it for my task
in hand.
In my opinion it is very likely
Greetings R Community,
I am trying to run a quantile regression using the quantreg package. My
regression includes 7 independent variables with approx. 800 daily observations
each. Thus, I think that the Barrodale and Roberts algorithm should do the
trick. However, the Frisch-Newton after
2015 22:33
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] algorithmic method quantile regression
Did you read item 1 in the quantreg FAQ()?
url:www.econ.uiuc.edu/~rogerRoger Koenker
emailrkoen...@uiuc.eduDepartment of Economics
vox: 217-333-4558
Greetings R Community,
I am trying to run a quantile regression using the quantreg package. My code
looks as follows:
RegressionUtilitiesUK<-rq(ReturnUtilities~yield.spread.change+ReturnFTSE,
tau=0.01,data=State_variables_UK_calm)
Unfortunately, the summary() function returns the results but
Thank you very much.
So, the results are correct and the differences between the solutions are
pretty small. Thus, I do not need to worry about the warning message? Yes?
-Original Message-
From: Roger Koenker [mailto:rkoen...@illinois.edu]
Sent: 13 October 2015 21:59
To: T.Riedle
Cc
Hi everybody,
I am trying to run a panel regression on 10 economic sectors with 4 independent
variables, respectively. The plm() function works well for all 10 economic
sectors together, i.e. the dataframe containing all sectors.
Now, I am trying to run the same regression for each sector
Hi everybody,
I am working with the plm package. I am struggling with the generation of the
data frame in the plm() function. An example of my data are found in the
attachment and I want to run a pooled regression on those. Hence, I need to
generate a data frame using pdata.frame() function
Hello,
I have been using the midasr package for several month. Now I want to start it
again and it does not work anymore. I have installed the newest R version but I
get following message when I am trying to run midasr
install.packages(midasr)
trying URL
) :
numerical expression has 3 elements: only the first used
Why do I get this error message and how can I avoid it??
Thanks in advance
-Original Message-
From: peter dalgaard [mailto:pda...@gmail.com]
Sent: 05 May 2015 11:41
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] using filter
Hi everybody,
I am trying to create a code for the formula in the attachment. I first tried
following code:
ltau - m + theta*sum(psi*X[t-k])
but it does not work and I get for X[t-k] every third element in my vector
three times which looks as follows:
X[t-k]
[1] -0.25 -0.25 -0.25 0.50 0.50
Hi everybody,
I am trying to replicate the formula shown in the attachment. I want to
estimate tau using a macroeconomic variable X at month t using k lags of the
variable X.
My code so far looks as follows:
psi - fn(...)
k - 1:K
ltau - m + theta*sum(psi*X[t-k])
Unfortunately, if I run the
Hi everybody,
I have a matlab code which I would like to use for my empirical analysis.
Unfortunately, I am not familiar with matlab and it would be great if there was
a tool to translate the matlab code into R so that I can work with the code
in R.
Is there such a tool or package in R?
Kind
.
Thanks for your help
From: jlu...@ria.buffalo.edu [mailto:jlu...@ria.buffalo.edu]
Sent: 30 March 2015 16:01
To: T.Riedle
Cc: r-help@r-project.org; R-help
Subject: Re: [R] generating phi using function()
Your function phi has 5 arguments with no defaults. Your call only has 3
arguments. Hence
Hi everybody,
Does anybody have an idea how I can generate tau according to the attached
formula? The point is that phi changes with k and I thought I could make it by
using a for-function in R but I am not sure how to do that.
Could anyone help me?
Thanks in advance.
Hi everybody,
I am trying to generate the formula shown in the attachment. My formula so far
looks as follows:
phi - function(w1, w2, j, k, K){
zaehler - (k/K)^(w1-1)*(1-k/K)^(w2-1)
nenner - sum( ((1:K)/K)^(w1-1)*(1-(1:K)/K)^(w2-1))
return( zaehler/nenner )
}
Unfortunately something must be
Dear Sirs,
I am trying to implement the MIDAS regression but I cannot load the midasr
package.
When I load the package I get following message:
library(midasr)
Loading required package: sandwich
Loading required package: optimx
Error in loadNamespace(i, c(lib.loc, .libPaths()), versionCheck =
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