I don't understand your question but there is a package called VARs that may be helpful to you.
-----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of liu lu Sent: Friday, August 03, 2007 8:39 AM To: [EMAIL PROTECTED] Subject: [R-SIG-Finance] question on analyzing of correlation structure I am currently working on an empirical analysis of the respective A and B series in the three markets: X, Y, and Z. Suppose the correlation of the A & B series in market X shows a different pattern for the significant short-run adjustment as the impulse reponse fuctions indicate (Haan, Wouter J. den. 2000. The comovement between output and prices. Journal of Monetary Economics 46:3-30.). Could somebody share some ideas about any package can do the following: (1) to work out the factors contributing the disparity; (2) to contrast and highlight the difference. Many thanks to your kind attention. Wei-han Liu [[alternative HTML version deleted]] _______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/se...{{dropped}} ______________________________________________ R-help@stat.math.ethz.ch 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.
