Re: [R] Help with permutation / loops
Hello Nikhil, hope you are well today.
I am sorry to be a pain but I have one follow up question, I am trying to
express my results in a grid, which would look like a 6 by 6 matrix and would
have just Yes or NO in each grid..
So what I am thinking is a way to store every result I get on
apply(b,2,coint) in an array or vector, and express them is this matrix. So
that I can just look at it and see whether assets swap2 and vol are
cointegrated..
Do you reckon you point me in the right direction as to how to do that?
Thank you!
Thiago
-Original Message-
From: Nikhil Kaza [mailto:nikhil.l...@gmail.com]
Sent: 11 August 2010 12:35
To: Ferreira, Thiago Alves [ICG-MKTS]
Cc: 'r-help@R-project.org'
Subject: Re: [R] Help with permutation / loops
How about this?
untested since no data is provided.
a - paste(x,1:6,sep=)
b- combn(a,2)
coint-function (x)
{
x1 - get(x[1])
x2 - get(x[2])
adfdata(x1)
adfdata(x2)
engle-lm(x1~x2)
residual-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual) }
apply(b,2,coint)
Careful with the plots, you may just overwrite them on default device.
One way to overcome it is to plot them to a pdf and name them appropriately for
each iteration.
Nikhil Kaza
Asst. Professor,
City and Regional Planning
University of North Carolina
nikhil.l...@gmail.com
On Aug 11, 2010, at 6:34 AM, Ferreira, Thiago Alves wrote:
Hi everyone,
I am writing a code for cointegration between n (n=6 initially) pairs.
I have done the whole thing for 2 variables. There is a function
coint(x1,x2) that takes 2 inputs x1 and x2 and does the following:
coint-function (x1,x2)
{
adfdata(x1)
adfdata(x2)
engle-lm(x1~x2)
residual-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual) }
Where X1,x2,..,x6 are time series of length 250 or more
Where adfdata() is a function that calculates the adf test for x1 and
x2. There are 6 variables in total (x1,x2,...,x6) and I want to
calculate this function coint for the permutation of these variables.
That is coint(x1,x2); coint(x1,x3);
coint(x1,x4);...coint(x6,x5) (without repetition because x1,x1 are
cointegrated already)
I thought about creating an array with the combinations Xi,Xj and
apply the function to each combination in the array but I could not
get it to work...
I would really appreciate if someone could help me on this!
Thank you,
Kind regards,
Thiago
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
__
R-help@r-project.org mailing list
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Re: [R] Help with permutation / loops
The adfresd function that you have, prints the outcome of the test rather
than `return' ing a value. If you would modify that function to return a
value (True or false/ or p-value) you should automatically get vector that
you desire. Then is a simple task of naming the resultant vector with.
apply(b,2, paste, collapse=_)
On Thu, Aug 12, 2010 at 10:15 AM, Ferreira, Thiago Alves
thiago.alves.ferre...@citi.com wrote:
Hello Nikhil, hope you are well today.
I am sorry to be a pain but I have one follow up question, I am trying to
express my results in a grid, which would look like a 6 by 6 matrix and
would have just Yes or NO in each grid..
So what I am thinking is a way to store every result I get on
apply(b,2,coint) in an array or vector, and express them is this matrix.
So that I can just look at it and see whether assets swap2 and vol are
cointegrated..
Do you reckon you point me in the right direction as to how to do that?
Thank you!
Thiago
-Original Message-
From: Nikhil Kaza [mailto:nikhil.l...@gmail.com]
Sent: 11 August 2010 12:35
To: Ferreira, Thiago Alves [ICG-MKTS]
Cc: 'r-help@R-project.org'
Subject: Re: [R] Help with permutation / loops
How about this?
untested since no data is provided.
a - paste(x,1:6,sep=)
b- combn(a,2)
coint-function (x)
{
x1 - get(x[1])
x2 - get(x[2])
adfdata(x1)
adfdata(x2)
engle-lm(x1~x2)
residual-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual) }
apply(b,2,coint)
Careful with the plots, you may just overwrite them on default device.
One way to overcome it is to plot them to a pdf and name them appropriately
for each iteration.
Nikhil Kaza
Asst. Professor,
City and Regional Planning
University of North Carolina
nikhil.l...@gmail.com
On Aug 11, 2010, at 6:34 AM, Ferreira, Thiago Alves wrote:
Hi everyone,
I am writing a code for cointegration between n (n=6 initially) pairs.
I have done the whole thing for 2 variables. There is a function
coint(x1,x2) that takes 2 inputs x1 and x2 and does the following:
coint-function (x1,x2)
{
adfdata(x1)
adfdata(x2)
engle-lm(x1~x2)
residual-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual) }
Where X1,x2,..,x6 are time series of length 250 or more
Where adfdata() is a function that calculates the adf test for x1 and
x2. There are 6 variables in total (x1,x2,...,x6) and I want to
calculate this function coint for the permutation of these variables.
That is coint(x1,x2); coint(x1,x3);
coint(x1,x4);...coint(x6,x5) (without repetition because x1,x1 are
cointegrated already)
I thought about creating an array with the combinations Xi,Xj and
apply the function to each combination in the array but I could not
get it to work...
I would really appreciate if someone could help me on this!
Thank you,
Kind regards,
Thiago
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[R] Help with permutation / loops
Hi everyone,
I am writing a code for cointegration between n (n=6 initially) pairs.
I have done the whole thing for 2 variables. There is a function coint(x1,x2)
that takes 2 inputs x1 and x2 and does the following:
coint-function (x1,x2)
{
adfdata(x1)
adfdata(x2)
engle-lm(x1~x2)
residual-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual)
}
Where X1,x2,..,x6 are time series of length 250 or more
Where adfdata() is a function that calculates the adf test for x1 and x2. There
are 6 variables in total (x1,x2,...,x6) and I want to calculate this function
coint for the permutation of these variables. That is coint(x1,x2);
coint(x1,x3); coint(x1,x4);...coint(x6,x5) (without repetition because x1,x1
are cointegrated already)
I thought about creating an array with the combinations Xi,Xj and apply the
function to each combination in the array but I could not get it to work...
I would really appreciate if someone could help me on this!
Thank you,
Kind regards,
Thiago
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Re: [R] Help with permutation / loops
How about this?
untested since no data is provided.
a - paste(x,1:6,sep=)
b- combn(a,2)
coint-function (x)
{
x1 - get(x[1])
x2 - get(x[2])
adfdata(x1)
adfdata(x2)
engle-lm(x1~x2)
residual-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual)
}
apply(b,2,coint)
Careful with the plots, you may just overwrite them on default device.
One way to overcome it is to plot them to a pdf and name them
appropriately for each iteration.
Nikhil Kaza
Asst. Professor,
City and Regional Planning
University of North Carolina
nikhil.l...@gmail.com
On Aug 11, 2010, at 6:34 AM, Ferreira, Thiago Alves wrote:
Hi everyone,
I am writing a code for cointegration between n (n=6 initially) pairs.
I have done the whole thing for 2 variables. There is a function
coint(x1,x2) that takes 2 inputs x1 and x2 and does the following:
coint-function (x1,x2)
{
adfdata(x1)
adfdata(x2)
engle-lm(x1~x2)
residual-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual)
}
Where X1,x2,..,x6 are time series of length 250 or more
Where adfdata() is a function that calculates the adf test for x1
and x2. There are 6 variables in total (x1,x2,...,x6) and I want to
calculate this function coint for the permutation of these
variables. That is coint(x1,x2); coint(x1,x3);
coint(x1,x4);...coint(x6,x5) (without repetition because x1,x1 are
cointegrated already)
I thought about creating an array with the combinations Xi,Xj and
apply the function to each combination in the array but I could not
get it to work...
I would really appreciate if someone could help me on this!
Thank you,
Kind regards,
Thiago
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
__
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
