[R-SIG-Finance] Systemfit package/Autocorrelation
Peter Carl
peter at braverock.com
Fri Nov 6 18:24:09 CET 2009
You might use autocorrelation-adjusted returns, using the 'Return.Geltner'
function in PerformanceAnalytics. That adjusts for first-order
autocorrelation.
Okunev and White propose a method for removing n-order autocorrelation in:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=460641
... and if anyone is willing to contribute a function that implements it,
we'd be interested in including it in a future version of PA.
HTH,
pcc
--
Peter Carl
http://www.braverock.com/~peter
>
> Hello,
>
> I have question with regrad to the "systemfit" package.
> I'm estimating a simultaneous system of equations. I have 5 equations in
> my system. I use 3SLS for estimation since it permits to take into
> account, both, contemporaneous error terms correlation and simultaneity
> bias.
>
> After estimating my system, in which all equations are dynamic (each
> equation contain one lagged endogenous variable), I perform the
> Breusch-Godfrey test to test for the presence of residual autocorrelation
> between error terms of the same equation (E_1t ,E_1(t-1). The test results
> show that there is autocorrelation.
>
> My question is, in the case of simultaneous system of equations, how to
> correct for this problem of autocorrelation (I note again that I speak
> about autocorrelation between erros of the same equation and not
> autocorrelation between errors of different equations).
>
> I have seen that on the case for one single equation estimation, we use
> the function gls to correct for residuals autocorrelation, but in the case
> od system of equations there is no indication about how deal with this
> problem. I wonder if I should estimate separately equations in which
> there is evidence of autocorrelation by using simply OLS or gls functions?
>
> Any idea please ?
> Help will be very appreciated.
> Thank you in advance
>
>
>
>
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>
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