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Today's Topics:
1. Re: [R-sig-finance] A question on VECM (Matthieu Stigler)
2. passing fraction of seconds in xts object (sunil)
3. Re: passing fraction of seconds in xts object (Brian G. Peterson)
4. contour plot (FMH)
5. Re: contour plot (Jeff Ryan)
----------------------------------------------------------------------
Message: 1
Date: Thu, 20 Aug 2009 13:25:52 +0200
From: Matthieu Stigler <matthieu.stigler at gmail.com>
Subject: Re: [R-SIG-Finance] [R-sig-finance] A question on VECM
To: R-SIG-Finance at stat.math.ethz.ch
Cc: ron_michael70 at yahoo.com
Message-ID:
<111060c20908200425l95b03ecr5f1efd6404a05be0 at mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1
I don't have neither Lutkephol nor Maddala and Kim at hand but if I
remember well there is a whole chapter (at least section) in Maddala
and Kim discussing how to deal with variables with different orders of
integration, and you may find there complementary informations
concerning I(0) variables into cointegrartion
Hope this helps
Matthieu
2009/8/20 John Frain <frainj at tcd.ie>:
The Example on page 303 of Lutkepohl is an examination of
cointegration properties of an interest rate R and inflation. ?If
inflation were denoted by say pi then everything would be relatively
familiar, ?However inflation is denoted by Dp. ?Both R and Dp (pi)
are
are I(1) leading to the estimated cointegrating relationships
(7.2.30)
or (7.2.31).
In the original Engle and Granger (1987) Econometrica article all the
elements of the non-stationary vector were of the same order of
integration. ?The treatment of stationary variables was not explicit
but ?needed to be added afterwards. ?the treatment in Lutkepohl
includes this explicitly into the vecm system.
Best Regards
John
2009/8/19 ?<markleeds at verizon.net>:
John: now that I think of it, you're right in that , as far as I
remember,
both variables need to
be I(1) for there to be a possible cointegration relation so I'll
have to
check out pg 303
closer. It doesn't make sense for R_t to be stationary and still
be part of
a cointegrating
relation ? So, my bad and I'll go back to 303 and see what's going
on there.
Thanks for the
clarifiication but now I'm actually more confused and don'thave
the energy
to dig through Lutkepohl at the moment.
Mark
On Aug 19, 2009, John Frain <frainj at tcd.ie> wrote:
Lutkepohl is splitting up the system into r stationary components or
ecm's and n-r trends. He uses this ordering to show that that this
can be done. The stationary components and the ecm's only enter the
system at lag 1. The stationary components do not and should not
enter the ecm's. If you do have stationary variables this is
testable
and may be imposed at estimation.
Best Regards
John
2009/8/19 RON70 <ron_michael70 at yahoo.com>:
still no single reply. Should I need to design my query in better
way?
RON70 wrote:
Hi all, in Lutkepohl, page 250, I found that if there are
stationary
variables in integrated system then they must be put in upper
r-dimension.
My quesltion is, is that the fact? If I do not do it, is there any
problem
in estimation and interpretation? I have done few exercises and
found
that
parameter estimation is not infected with ordering (except IRF
estimation). Even is page 303 an example is presented wherein
inflation
rate variable is taken as 2nd variable, although it looks like a
stable
process.
Can anyone please clarify that? If really ordering is a problem in
presence of a stationary variable, can anyone provide me an
example, with
perhaps in R-code so that I can regenerate?
Thanks
--
View this message in context:
http://www.nabble.com/A-question-on-VECM-tp24985789p25038989.html
Sent from the Rmetrics mailing list archive at Nabble.com.
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------------------------------
Message: 2
Date: Thu, 20 Aug 2009 17:23:32 +0530
From: sunil <sarswat at gmail.com>
Subject: [R-SIG-Finance] passing fraction of seconds in xts object
To: r-sig-finance at stat.math.ethz.ch
Message-ID:
<28fa0bac0908200453h51492dabia2da5b50db9b4563 at mail.gmail.com>
Content-Type: text/plain
Dear R User, I am creating a xts object for
trading data.
Initially I am passing date_time_stamp and price in xts object as
follows
price
12.13
12.44
12.32
12.54
etc.
date_time
"2009-07-23 09:55:01.456"
"2009-07-23 09:55:01.717"
"2009-07-23 09:55:02.632"
"2009-07-23 09:55:02.564"
etc.
data=xts(price,as.POSIXct(date_time))
#don't know better way if there any. If I pass the date_stamp without
as.POSIXct it gives me an error, since date_time is character object.
here data will not have milliseconds part. Any help?
Suneel
[[alternative HTML version deleted]]
------------------------------
Message: 3
Date: Thu, 20 Aug 2009 07:02:06 -0500
From: "Brian G. Peterson" <brian at braverock.com>
Subject: Re: [R-SIG-Finance] passing fraction of seconds in xts object
To: sunil <sarswat at gmail.com>
Cc: r-sig-finance at stat.math.ethz.ch
Message-ID: <4A8D3B3E.7080707 at braverock.com>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed
?as.POSIXct
?strftime # for the format string
This topic has been covered so many times on this list that a simple
archive search for 'xts' and 'POSIXct' should have provided enough
pointers if the documentation did not.
your date_time should not be a column in your data but should be the
index of your data
something like:
options(digits.secs=6)
x <- data
x.xts <- xts(x[,"price"],order.by=as.POSIXct(x[,"date_time"],"%y-%m-%d
%H:%M:%OS" ))
Regards,
- Brian
sunil wrote:
Dear R User, I am creating a xts object for
trading data.
Initially I am passing date_time_stamp and price in xts object as
follows
price
12.13
12.44
12.32
12.54
etc.
date_time
"2009-07-23 09:55:01.456"
"2009-07-23 09:55:01.717"
"2009-07-23 09:55:02.632"
"2009-07-23 09:55:02.564"
etc.
data=xts(price,as.POSIXct(date_time))
#don't know better way if there any. If I pass the date_stamp without
as.POSIXct it gives me an error, since date_time is character object.
here data will not have milliseconds part. Any help?
Suneel
[[alternative HTML version deleted]]
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Brian G. Peterson
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IM: bgpbraverock
------------------------------
Message: 4
Date: Thu, 20 Aug 2009 08:59:06 -0700 (PDT)
From: FMH <kagba2006 at yahoo.com>
Subject: [R-SIG-Finance] contour plot
To: r-sig-finance at stat.math.ethz.ch
Message-ID: <899499.40382.qm at web38304.mail.mud.yahoo.com>
Content-Type: text/plain
Hi,
Could someone give some ideas on plotting a contour by using geoR
package, please?
Thank you
Kagba
[[alternative HTML version deleted]]
------------------------------
Message: 5
Date: Thu, 20 Aug 2009 11:11:07 -0500
From: Jeff Ryan <jeff.a.ryan at gmail.com>
Subject: Re: [R-SIG-Finance] contour plot
To: FMH <kagba2006 at yahoo.com>
Cc: r-sig-finance at stat.math.ethz.ch
Message-ID:
<e8e755250908200911j53863a67q4e7e6e74d7aa8680 at mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1
Hi Kagba,
This is the finance list, you probably want the list that says
"R-help"... and to re-read (read!?) the posting guide.
Jeff
On Thu, Aug 20, 2009 at 10:59 AM, FMH<kagba2006 at yahoo.com> wrote:
Hi,
Could someone give some ideas on plotting a contour by using geoR
package, please?
Thank you
Kagba
? ? ? ?[[alternative HTML version deleted]]
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Jeffrey Ryan
jeffrey.ryan at insightalgo.com
ia: insight algorithmics
www.insightalgo.com
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