[R] highfrequency package-jump test

[Rui Barradas]

Hello,

The error is not reproducible, the second code line gives:


data<-xts(x=data$PRICE,order.by=tm)
#Error in data$PRICE : object of type 'closure' is not subsettable


Please post a data example in dput format.

dput(head(data, 30))    # post the output of this or similar

Hope this helps,

Rui Barradas

Às 01:13 de 10/10/20, Zixuan Qi escreveu:
> Hello,
> 
> My programming is as follows.
> 
> library(highfrequency)
> library(data.table)
> library(xts)
> tm<-seq.POSIXt(from = as.POSIXct("2020-08-20 09:30:00"),to = as.POSIXct("2020-08-20 15:59:00"),by='min')
> data<-xts(x=data$PRICE,order.by=tm)
> data <- as.data.table(data)
> setnames(data,c('index'),c('DT'))
> setnames(data,c('V1'),c('PRICE'))
> LMtest <- intradayJumpTest(pData = data,volEstimator = "RM", driftEstimator = "none",RM = "bipower", lookBackPeriod = 20,on = 'minutes', k = 5, marketOpen = "09:30:00",marketClose = "15:59:00")
> plot(LMtest)
> 
> However, the error is that ''Error in xy.coords(x, y, setLab = FALSE) : 'x' and 'y' lengths differ''. I don't know how to correct it.
> 
> 
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