Anything else?


Jorge


On Sun, Jun 1, 2008 at 5:30 PM, ensark <ensarkurtulus@hotmail.com> wrote:

>
> hı,  I am preparing undergraduate thesis If you help me this would make me
> feel good.
>   First  I need to analyze effect of Dow Jones Industrial average(DJIA)'s
> return on Istanbul Stock Exchange(ISE). I want to use Markov-Switching
> Bayesian Vector Autoregression Models (MSBVAR) that is used to examine the
> effect of a large economy's stock exchange movement on a small economy's
> stock exchange movement. The foreign stock  exchange index follows its own
> dynamics (an AR process is used as a proxy).
> Turkish stock exchange movements are affected by its own lag and movements
> of the foreign stock exchange. Therefore, the foreign stock exchange can be
> thought to have an exogenous affect on the Turkish stock exchange. None of
> the lag variables of the Turkish stock exchange determine foreign stock
> exchange; however, lag values and spot values of the foreign stock exchange
> affect Turkish stock exchange movement.
>    To calculate the standard errors of the impulse response functions, I
> should use the modified error bands of Bernanke, Hall, Leeper, Sims and Zha
> (1996) for the maximum likelihood estimation (MLE).
>
> Data structure(time series);
> for ISE and DJIA
> daily closing prices from 01.01.1989 to 01.01.2008 in excel format.
>
> Also I should provide following spec.;
> *should fill the missing variables.
> *the lag order of the identified VAR model is 5 as suggested by Bayesian
> information criteria.
> *All error bands for  this paper should generated with 2000 Monto Carlo
> draws. The corresponding impulse responses should reported in the
> figures(use one-standard deviation shock in order to see impulses.).
>
> and I need these outputs;
> *plot impluse-response figures and should define level of confidence bonds
> in the figures for every sub-periods
> *t values of responses from ISE to DJIA.(for 10 days)
>
> Finally, I am not good at R statistics(inexperienced) so I need
> explanations
> in detailed also need resources and ready-made codes. How I use MSBVAR
> model
> in R and Can you prepare me toDo list? thank you
>
>
> --
> View this message in context:
> http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17590508.html
> Sent from the R help mailing list archive at Nabble.com.
>
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>

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