[R-SIG-Finance] Multiplicative error model ?

Christian Brownlees ctb at stern.nyu.edu
Tue Jun 24 16:12:07 CEST 2008

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.


> 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]]
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