[R-SIG-Finance] Multiplicative error model ?

[Christian Brownlees]

I'm actually working on package for R called dynamo which allows to
estimate univaraite MEMs. 

The package is on CRAN but on windows there are some CRAN dependent linking
problems which have to be solved.

However, I have a version of the package for windows that runs.

The packages is still under development but estimation, inference, prediction, simulation of the model
are already there more or less.

Best,
Christian

> Dear all:
> 
> Does anyone know whether the multiplicative error mode (MEM) is implemented
> in R or other languages? I tried to write the program but got non-converging
> problems. I checked the paper in :
> www.core.ucl.ac.be/archives/CORE.ETRICSfiles/2005-06/gallo.pdf
> But I found that the stuff there seems too complicated for me to handle.
> Can anyone give a hint here? Thanks for help of any kind.
> 
> ShyhWeir
> 
> 	[[alternative HTML version deleted]]
> 
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>