[R-sig-finance] VAR, VECM, Kalman, ... non-R software recommendations?

[Dirk Eddelbuettel]

Pijus, and Jeffrey,

On Fri, Aug 20, 2004 at 01:37:27PM -0400, Pijus Virketis wrote:
> Dear Dirk,
> 
> As far as my personal experience goes, I needed to estimate such models
> some time ago, when the R toolkit for this sort of thing was still
> almost empty, so I chose to invest in STATA: it provides a fairly
> complete set of functions to estimate VAR, SVAR and (as of two months
> ago) VECM models, validate their results and stability, and calculate
> all the frequently-needed derivatives, such as the MA forms (i.e. IRFs,
> SIRFs, ...), etc. For what it's worth, I chose STATA over many other
> contenders in the field because it seemed to have some of those R-like
> pro-active qualities, like frequent updates, knowledgeable and involved
> users, and accessible developers (to which I can personally attest after
> running into a couple of bugs in the early SVAR code). The R-STATA
> intercommunication is made possible by the foreign package, batch modes,
> and good old ASCII. ;) STATA programming is a bit laborious, so I always
> only farm out the absolute minimum to it, and do the remainder in R. As
> you said, STATA let me "hit the ground running", and is really not a bad
> compromise.

Very nice you're bringing that up -- with my hat of "being my wife's
sysadmin for the home computers" on, I have the new stata 8 (for Linux) at
home to which she just upgraded. For her limited-dependent variable work,
she has been as very happy user of stata (on Linux) since version 4.  I will
take a much closer look at the VAR and VECM stuff in there.  Thanks a bunch
for that finance practioner's vote of confidence, I had been unsure if
stata's offerings in that area are any good.
 
> Of course, today R's own arsenal for time-series econometrics is shaping
> up fast as well. Most significantly, there is now the CRAN urca package
> by Bernhard Pfaff: it provides the means to estimate VECM models (both
> the transitory and long-term flavours) and Johansen's co-integration
> tests built on top them. Sadly, VAR/SVAR and associated battery of
> helper functions are still not available, as far as I am aware.

Yes, I did of course look at that this week (PS nb 2), and it looks very
good. I need to read up on the original Johansen papers / Hamilton book.

> As for the Kalman filter, there is the Kalman... family of functions in
> stats: perhaps that's a good place to start? Sadly, I have not yet had a

PS nb 3: I had actually worked with these a year or two ago, and have the
Durbin and Koopman text here at my desk. I think I had issues with the nb of
obs needed to do what I wanted to do -- I'll revisit.

> chance to use space-state models in a proper project, so my knowledge of
> the available tools and their relative capabilities is modest. Also, if
> you can get to it, R. Carmona's neat book "Statistical Analysis of
> Financial Series in S-Plus" (Springer, 2004) has a few sections
> (6.2-6.7) on state-space models and Kalman filtering thereof (S code
> included), with applications to finance.

Very good pointer too -- a colleague here has the book, maybe I should take
a look.

So nobody voting for Eview or Rats yet?  Maybe I picked a biased crowd ;-)

Thanks again, Dirk

-- 
Those are my principles, and if you don't like them... well, I have others.
                                                -- Groucho Marx