On Tue, Apr 5, 2011 at 8:35 AM, Ravi Kulkarni <ravi.k...@gmail.com> wrote: > I am trying to reproduce the output of a time series example in Koop's book > "Analysis of Financial Data". Koop does the example in Excel and I used the > ts function followed by the lm function. > I am unable to get the exact coefficients that Koop gives - my coefficients > are slightly different. > After loading the data file and attaching the frame, my code reads: > >> y = ts(m.cap) >> x = ts(oil.price) >> d = ts.union(y,x,x1=lag(x,-1),x2=lag(x,-2),x3=lag(x,-3),x4=lag(x,-4)) >> mod1 = lm(y~x+x1+x2+x3+x4, data=d) >> summary(mod1) > > Koop gives an intercept of 92001.51, while the code above gives 91173.32. > The other coefficients are also slightly off. > > This is the example in Table 8.3 of Koop. I also attach a plain text version > of the tab separated file "badnews.txt". > http://r.789695.n4.nabble.com/file/n3427897/badnews.txt badnews.txt > > Any light on why I do not get Koop's coefficients is most welcome... >
It looks like he erroneously left out the first point. > URL <- "http://r.789695.n4.nabble.com/file/n3427897/badnews.txt"; > BAD <- read.table(URL, header = TRUE) > library(dyn) > dyn$lm(m.cap ~ lag(oil.price, -(0:4)), as.zoo(BAD)) Call: lm(formula = dyn(m.cap ~ lag(oil.price, -(0:4))), data = as.zoo(BAD)) Coefficients: (Intercept) lag(oil.price, -(0:4))1 lag(oil.price, -(0:4))2 91173.32 -131.99 -449.86 lag(oil.price, -(0:4))3 lag(oil.price, -(0:4))4 lag(oil.price, -(0:4))5 -422.52 -187.10 -27.77 > > # without first point > dyn$lm(m.cap ~ lag(oil.price, -(0:4)), tail(as.zoo(BAD), -1)) Call: lm(formula = dyn(m.cap ~ lag(oil.price, -(0:4))), data = tail(as.zoo(BAD), -1)) Coefficients: (Intercept) lag(oil.price, -(0:4))1 lag(oil.price, -(0:4))2 92001.5 -145.0 -462.1 lag(oil.price, -(0:4))3 lag(oil.price, -(0:4))4 lag(oil.price, -(0:4))5 -424.5 -199.5 -36.9 > -- Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com ______________________________________________ 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.
