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

[Dirk Eddelbuettel]

On Sat, Aug 21, 2004 at 01:34:14AM +0200, Achim Zeileis wrote:
> > I have mucked around with the kalman for estimating time-varying
> > betas.  there was another interest
> > in cointegration stuff a few weeks back.
[...]
> There are several ways of doing that more generally with R (or other
> statistics software). The most obvious idea is, of course, to write a
> simple R package and post it on CRAN: this can contain the R functions,
> data sets, help pages, further documentation in vignettes etc.
> To document what your software is doing and how it can be used, there's
> the possibility to submit the package plus documentation to the Journal
> of Statistical Software
>   http://www.jstatsoft.org/
> either for the articles section or the code snippets.

A third option would be a wiki. Detlef Steuer once set one up and announced
it on r-help, but somehow it didn't get adopted. Wikis may have lower
barriers to entry, which can be an advantage. In an ideal world, the
community would edit the wiki to purge truly useless code.
 
> Of course, a full package might seem overkill for some simpler things.
> Maybe, it would be a good idea to start a snippet package for
> computational finance and econometrics with R. Maybe, we can find a
> volunteer who could put something together like Greg Warnes does with
> the gregmisc package which hosts nifty code snippets by various authors.

Yes, that may be a very good compromise.

> Finally, really simple things could also be posted to the list(s) and
> will then be archived anyway. But this would have to be really small
> pieces of code, probably.

Yes, also possible, and probably the easiest method. We could start with
that, and even vet / extend code that way. 

So many ways to contribute code ;-)

Regards, Dirk

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