Hi, Suppose that I have the following loop for estimating ARMA models on a series of log-returns. The loop varies both the p and the q orders between 0 and 10. The returned objects are the matrices of respectively the Akaike Information Criterion indicators for model goodness of fit, the model equation coefficients, the p-values of the Augmented Dickey Fuller test for stationarity of the residuals, the p-values of Box Ljung tests for serial uncorrelation and independence of the residuals and the p-values of the Jarque Bera test for normality of the residuals.

My questions are: 1)How do you tell R not to display the AIC, the model coefficients and all the tests p-values in the case the estimated ARMA model features convergence problems? That would probably require to specify an IF condition in the loop which I am not currently able to do. 2)Take a look at the “fit degrees of freedom” argument of the Box tests for serial uncorrelation and independence. There I need to tell R to fit a number of degrees of freedom which equals p+q (the sum of the orders of the estimated ARMA model). Is it correct to write fitdf=i+j+2 as I did? 3)How could I loop for a third variable which is “include.mean=TRUE/FALSE”? I tried to loop over a third, string-type variable z<-c(TRUE,FALSE) but always got the error message: “error no 'dimnames' attribute for array”. Please note that I am an R beginner. So any help from anybody is deeply appreciated. Here follows the code. USDlogreturns=diff(log(prices)) armaaicmat=matrix(NA, 11, 11) armacoefmat=matrix(NA,121,23) armaadftestmat=matrix(NA, 11, 11) armaboxtestmat=matrix(NA, 11, 11) armaboxtest2mat=matrix(NA, 11, 11) armajarqueberamat=matrix(NA, 11, 11) k=0 for(i in 0:10){ for(j in 0:10){ k=k+1 fit <- arima(USDlogreturns, order=c(i,0,j), include.mean=TRUE) armaaicmat[i+1,j+1] = fit$aic if(i>0) armacoefmat[k,c(1:i) ]=fit$coef[c(1 :i )] if(j>0) armacoefmat[k,c(13:(12+j))]=fit$coef[c((i+1):(i+j))] armacoefmat[k,23]=tail(fit$coef,1) armaadftestmat[i+1,j+1]=adf.test(fit$resid,k=trunc((length(fit$resid)-1)^(1/3)))$p.value armaboxtestmat[i+1,j+1]=Box.test(fit$resid, fitdf=i+j+2, lag=30,type=c("Ljung-Box"))$p.value armaboxtest2mat[i+1,j+1]=Box.test(fit$resid^2, fitdf=i+j+2, lag=30,type=c("Ljung-Box"))$p.value armajarqueberamat[i+1,j+1]=jarque.bera.test(fit$resid)$p.value } } --- Questa e-mail è stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.