[R-SIG-Finance] R-SIG-Finance Digest, Vol 63, Issue 14
Hai
frankzhen at gmail.com
Sun Aug 23 04:24:18 CEST 2009
我是娌里酌
Merci !
Hai
Le Aug 21, 2009 à 6:00 AM, r-sig-finance-request at stat.math.ethz.ch a
écrit :
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> Today's Topics:
>
> 1. Re: [R-sig-finance] A question on VECM (Matthieu Stigler)
> 2. passing fraction of seconds in xts object (sunil)
> 3. Re: passing fraction of seconds in xts object (Brian G. Peterson)
> 4. contour plot (FMH)
> 5. Re: contour plot (Jeff Ryan)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Thu, 20 Aug 2009 13:25:52 +0200
> From: Matthieu Stigler <matthieu.stigler at gmail.com>
> Subject: Re: [R-SIG-Finance] [R-sig-finance] A question on VECM
> To: R-SIG-Finance at stat.math.ethz.ch
> Cc: ron_michael70 at yahoo.com
> Message-ID:
> <111060c20908200425l95b03ecr5f1efd6404a05be0 at mail.gmail.com>
> Content-Type: text/plain; charset=ISO-8859-1
>
> I don't have neither Lutkephol nor Maddala and Kim at hand but if I
> remember well there is a whole chapter (at least section) in Maddala
> and Kim discussing how to deal with variables with different orders of
> integration, and you may find there complementary informations
> concerning I(0) variables into cointegrartion
>
> Hope this helps
>
> Matthieu
>
> 2009/8/20 John Frain <frainj at tcd.ie>:
>> The Example on page 303 of Lutkepohl is an examination of
>> cointegration properties of an interest rate R and inflation. ?If
>> inflation were denoted by say pi then everything would be relatively
>> familiar, ?However inflation is denoted by Dp. ?Both R and Dp (pi)
>> are
>> are I(1) leading to the estimated cointegrating relationships
>> (7.2.30)
>> or (7.2.31).
>>
>> In the original Engle and Granger (1987) Econometrica article all the
>> elements of the non-stationary vector were of the same order of
>> integration. ?The treatment of stationary variables was not explicit
>> but ?needed to be added afterwards. ?the treatment in Lutkepohl
>> includes this explicitly into the vecm system.
>>
>> Best Regards
>>
>> John
>>
>> 2009/8/19 ?<markleeds at verizon.net>:
>>> John: now that I think of it, you're right in that , as far as I
>>> remember,
>>> both variables need to
>>> be I(1) for there to be a possible cointegration relation so I'll
>>> have to
>>> check out pg 303
>>> closer. It doesn't make sense for R_t to be stationary and still
>>> be part of
>>> a cointegrating
>>> relation ? So, my bad and I'll go back to 303 and see what's going
>>> on there.
>>> Thanks for the
>>> clarifiication but now I'm actually more confused and don'thave
>>> the energy
>>> to dig through Lutkepohl at the moment.
>>>
>>>
>>> Mark
>>>
>>>
>>>
>>> On Aug 19, 2009, John Frain <frainj at tcd.ie> wrote:
>>>
>>> Lutkepohl is splitting up the system into r stationary components or
>>> ecm's and n-r trends. He uses this ordering to show that that this
>>> can be done. The stationary components and the ecm's only enter the
>>> system at lag 1. The stationary components do not and should not
>>> enter the ecm's. If you do have stationary variables this is
>>> testable
>>> and may be imposed at estimation.
>>>
>>> Best Regards
>>>
>>> John
>>>
>>> 2009/8/19 RON70 <ron_michael70 at yahoo.com>:
>>>>
>>>> still no single reply. Should I need to design my query in better
>>>> way?
>>>>
>>>>
>>>>
>>>> RON70 wrote:
>>>>>
>>>>> Hi all, in Lutkepohl, page 250, I found that if there are
>>>>> stationary
>>>>> variables in integrated system then they must be put in upper
>>>>> r-dimension.
>>>>> My quesltion is, is that the fact? If I do not do it, is there any
>>>>> problem
>>>>> in estimation and interpretation? I have done few exercises and
>>>>> found
>>>>> that
>>>>> parameter estimation is not infected with ordering (except IRF
>>>>> estimation). Even is page 303 an example is presented wherein
>>>>> inflation
>>>>> rate variable is taken as 2nd variable, although it looks like a
>>>>> stable
>>>>> process.
>>>>>
>>>>> Can anyone please clarify that? If really ordering is a problem in
>>>>> presence of a stationary variable, can anyone provide me an
>>>>> example, with
>>>>> perhaps in R-code so that I can regenerate?
>>>>>
>>>>> Thanks
>>>>>
>>>>
>>>> --
>>>> View this message in context:
>>>> http://www.nabble.com/A-question-on-VECM-tp24985789p25038989.html
>>>> Sent from the Rmetrics mailing list archive at Nabble.com.
>>>>
>>>> _______________________________________________
>>>> 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.
>>>>
>>>>
>>>
>>>
>>>
>>> --
>>> John C Frain, Ph.D.
>>> Trinity College Dublin
>>> Dublin 2
>>> Ireland
>>> www.tcd.ie/Economics/staff/frainj/home.htm
>>> mailto:frainj at tcd.ie
>>> mailto:frainj at gmail.com
>>>
>>> _______________________________________________
>>> 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.
>>>
>>
>>
>>
>> --
>> John C Frain, Ph.D.
>> Trinity College Dublin
>> Dublin 2
>> Ireland
>> www.tcd.ie/Economics/staff/frainj/home.htm
>> mailto:frainj at tcd.ie
>> mailto:frainj at gmail.com
>>
>> _______________________________________________
>> 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.
>>
>
>
>
> ------------------------------
>
> Message: 2
> Date: Thu, 20 Aug 2009 17:23:32 +0530
> From: sunil <sarswat at gmail.com>
> Subject: [R-SIG-Finance] passing fraction of seconds in xts object
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID:
> <28fa0bac0908200453h51492dabia2da5b50db9b4563 at mail.gmail.com>
> Content-Type: text/plain
>
> Dear R User, I am creating a xts object for
> trading data.
> Initially I am passing date_time_stamp and price in xts object as
> follows
> price
> 12.13
> 12.44
> 12.32
> 12.54
> etc.
> date_time
> "2009-07-23 09:55:01.456"
> "2009-07-23 09:55:01.717"
> "2009-07-23 09:55:02.632"
> "2009-07-23 09:55:02.564"
> etc.
>
> data=xts(price,as.POSIXct(date_time))
> #don't know better way if there any. If I pass the date_stamp without
> as.POSIXct it gives me an error, since date_time is character object.
>
> here data will not have milliseconds part. Any help?
> Suneel
>
> [[alternative HTML version deleted]]
>
>
>
> ------------------------------
>
> Message: 3
> Date: Thu, 20 Aug 2009 07:02:06 -0500
> From: "Brian G. Peterson" <brian at braverock.com>
> Subject: Re: [R-SIG-Finance] passing fraction of seconds in xts object
> To: sunil <sarswat at gmail.com>
> Cc: r-sig-finance at stat.math.ethz.ch
> Message-ID: <4A8D3B3E.7080707 at braverock.com>
> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
> ?as.POSIXct
> ?strftime # for the format string
>
> This topic has been covered so many times on this list that a simple
> archive search for 'xts' and 'POSIXct' should have provided enough
> pointers if the documentation did not.
>
> your date_time should not be a column in your data but should be the
> index of your data
>
> something like:
>
> options(digits.secs=6)
> x <- data
> x.xts <- xts(x[,"price"],order.by=as.POSIXct(x[,"date_time"],"%y-%m-%d
> %H:%M:%OS" ))
>
> Regards,
>
> - Brian
>
> sunil wrote:
>> Dear R User, I am creating a xts object for
>> trading data.
>> Initially I am passing date_time_stamp and price in xts object as
>> follows
>> price
>> 12.13
>> 12.44
>> 12.32
>> 12.54
>> etc.
>> date_time
>> "2009-07-23 09:55:01.456"
>> "2009-07-23 09:55:01.717"
>> "2009-07-23 09:55:02.632"
>> "2009-07-23 09:55:02.564"
>> etc.
>>
>> data=xts(price,as.POSIXct(date_time))
>> #don't know better way if there any. If I pass the date_stamp without
>> as.POSIXct it gives me an error, since date_time is character object.
>>
>> here data will not have milliseconds part. Any help?
>> Suneel
>>
>> [[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.
>>
>
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>
>
> ------------------------------
>
> Message: 4
> Date: Thu, 20 Aug 2009 08:59:06 -0700 (PDT)
> From: FMH <kagba2006 at yahoo.com>
> Subject: [R-SIG-Finance] contour plot
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID: <899499.40382.qm at web38304.mail.mud.yahoo.com>
> Content-Type: text/plain
>
> Hi,
>
> Could someone give some ideas on plotting a contour by using geoR
> package, please?
>
> Thank you
>
> Kagba
>
>
>
> [[alternative HTML version deleted]]
>
>
>
> ------------------------------
>
> Message: 5
> Date: Thu, 20 Aug 2009 11:11:07 -0500
> From: Jeff Ryan <jeff.a.ryan at gmail.com>
> Subject: Re: [R-SIG-Finance] contour plot
> To: FMH <kagba2006 at yahoo.com>
> Cc: r-sig-finance at stat.math.ethz.ch
> Message-ID:
> <e8e755250908200911j53863a67q4e7e6e74d7aa8680 at mail.gmail.com>
> Content-Type: text/plain; charset=ISO-8859-1
>
> Hi Kagba,
>
> This is the finance list, you probably want the list that says
> "R-help"... and to re-read (read!?) the posting guide.
>
> Jeff
>
> On Thu, Aug 20, 2009 at 10:59 AM, FMH<kagba2006 at yahoo.com> wrote:
>> Hi,
>>
>> Could someone give some ideas on plotting a contour by using geoR
>> package, please?
>>
>> Thank you
>>
>> Kagba
>>
>>
>>
>> ? ? ? ?[[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.
>>
>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan at insightalgo.com
>
> ia: insight algorithmics
> www.insightalgo.com
>
>
>
> ------------------------------
>
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> R-SIG-Finance at stat.math.ethz.ch
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