[R] fSeries - Ox - ver: 240.10068 - Steps to make it work

[Martin Becker]

Line number 55 in the original mail from 2005 was a reference to 
garchOxFit (not .garchOxFit) in fSeries version 220.10063 (not 
240.10068), as mentioned in 
https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000498.html . Of 
course, in the current version of .garchOxFit, the line number has 
changed, but the line should still be there, and if .garchOxFit has less 
than 55 lines, it should be easy to find.
Does your example still work, if you don't have a variable 'x' visible 
to garchOxFit (in your environment/search path)? I suppose garchOxFit 
just uses the series stored in 'x' (in your current workspace) instead 
of 'IanSeries' (which is even worse than aborting...).

Regards,

  Martin


Ian Gregory schrieb:
> I tried the following and it works for me (after the changes to make):
>
> library(fSeries)
> data(dem2gbp)
> IanSeries = dem2gbp[, 1]
> garchOxFit(~garch(1,1),IanSeries)
>
> Any writing of data is performed in the GarchOxModelling.ox file.
> The number of lines of code in the function .garchOxFit() does not appear
> to go up to 55.  When using:  edit(garchOxFit).
>
> I get for the output from the estimation to be:
>
> .......
> .......
> Estimated Parameters Vector :
> -0.006183; 0.010761; 0.153406; 0.805877
>
>
> regards,
>
> Ian.
>
>
> ----- Original Message ----- From: "Martin Becker" 
> <martin.becker at mx.uni-saarland.de>
> To: "Ian Gregory" <ian at iangregory.com>
> Cc: <r-help at stat.math.ethz.ch>; <wuertz at itp.phys.ethz.ch>
> Sent: Saturday, June 16, 2007 8:31 PM
> Subject: Re: [R] fSeries - Ox - ver: 240.10068 - Steps to make it work
>
>
>> I think there is still a small bug which I reported some time ago to 
>> r-sig-finance 
>> (https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000498.html) and 
>> which takes effect if the time series is not stored in the variable 'x':
>>
>> The line
>>
>>    write(x, file = "OxSeries.csv", ncolumns = 1, append = TRUE)
>>
>> in .garchOxFit() (fSeries version 240.10068) should read
>>
>>    write(x = series, file = "OxSeries.csv", ncolumns = 1, append = TRUE)
>>
>> instead.
>>
>> Incorporating the changes for OX-G at RCH4.2 could be a good occasion to 
>> fix this as well :-)
>>
>> Regards,
>>
>>  Martin
>>
>>
>> Ian Gregory wrote:
>>> -Bugs and fixes reported to Diethelm Wuertz.
>>> -In the interim.  To make the Ox functions part of the fSeries 
>>> package work please follow the following steps.
>>>
>>>
>> [snip]
>>
>>