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Is it possible to simultaneously estimate mean and GARCH parameters in R? In other words, I would like to estimate the normal regression equation Y = b X + u and simultaneously do a garch process on the u's to correct...

Hi, everyone! Is there a function to do single-variable GARCH in R? If yes, what library is it in? Thanks! Toby -- ************************************************************************** When Thomas Edison invented the light bulb he tried over 2000 experiments before he got it to work...

The Ox interface in fSeries is quite an easy way to accomplish this, although it produces some garbage, both in your current environment within R, as well as in the directory in which you are running R. You have to...

Hi! I have a dataset of properties that are owned by different firms, each firm owning multiple properties. I am running a regression of holding period (how long a property was held in a firm's portfolio) on the left...

I am trying to define a large number of variables through a loop construct. I have my loop variable i being cycled through 1:100 and I would like the variables produced by this to be called vi (i.e...

Hi! Sorry for asking a trivial questions, but I can't seem to figure this out. I have a dataframe called master containing 30-odd variables. In this dataframe, I have observations across these 30 variables from 1930 to 2003...

Thomas, I usually use the aggregate() function, proceeding as follows. Construct a vector of 1s that is the same length as your entire data. Then use aggregate() with sum as a function on this vector and your grouping variable as...

Hi! I'm trying to do the following. I have monthly a dataset with, among other things, "marketcap", and "return". I want to multiply return by the marketcap of the previous month. How do I do this? In STATA (which...

Eric: Why not do it by hand, using aggregate()? Let's say dset is your data.frame of daily returns, with the return variable called ret and the date variable called date. Make sure the date variable has class Date...

Hi! I have a (fairly narrow and long) panel dataset of returns across three portfolios over 100-odd time-series observations. I have reason to believe that there is heteroskedasticity in the error terms, but that this heteroskedasticity is only...

I am writing a function of weighted regression, as a procedure for heteroskedasticity. The function runs an auxiliary regression whose fitted values I assign to fit, and then I go: w <- 1/(exp(fit/2)) ## Rerun the old regression ## if...

Hi! I need to run ols regressions with Huber-White sandwich estimators and the correponding standard errors, without an intercept. What I'm trying to do is create an ols object and then use the robcov() function, on the order...

Dear all: There seems to be a problem with scoping, for irf() in vars, when called within a function. Try the following: ----------------------- testfun <- function(lags){ data(Canada) var.2c <- VAR(Canada, p = lags, type = "const") print(var.2c) } testfun(lags...

Paul, Unless you are looking at index funds, you need to see whether your funds produce alpha. To do this, pick a set of benchmarks according to your fund's style and investment strategy, like Morningstar category index or something...

Josef, Not sure if this is exactly what you mean, but there is a generic function as() to which you can then specify "numeric" as an argument and which then coerces stuff into numeric format. Tobias Josef Eschgfaeller wrote: > > Is...

Dear R-listers, I am trying to compute interaction effects in a probit model, and conduct hypothesis tests on these effects correctly. Specifically, I have a model of the form y = a + b1 m + b2 x + b3 m*x, where...

Hi, all! Anyone know an easy way to specify the following model. Panel dataset, with stock through time, by firm. I want to run a model of y on a bunch of explanatory variables, and one dummy for each firm...

Hi! I am trying to get R to run regressions for me of a variable on lagged differences of itself. Specifically: x-x(-1) = a + b1(x(-1)-rx(-2))+b2(x(-4)-rx(-5))+e I need to do...

OK, yeah. I did think of that in the meantime, but I was also wondering if there was some other convenience function to do it. But this will do in any case. Toby Jean Eid wrote: > wouldn't it be...

So are you guys saying to me that if I have variable firm which is the factor of all firm identifiers, I could just go lm(y ~ x + firm) and that will implicitly include a dummy for each level of...