[R-SIG-Finance] fArma

[Brian G. Peterson]

You haven't provided your data series, and you haven't said *where* the 
script fails.  That makes it difficult to help you.

Do the examples for fArma work? 
Are all the files in the correct location?
Your script requires fSeries, but not fArma.
what is the output of traceback() after the error?


Zany Z wrote:
> Hi,
>
> I don't know where else to seek help, if not applicable, I would be grateful if you could direct me to a relevant reference.
>
> I tried running (this code was gotten from TAMU.edu) but I kept getting this error "Error in eval(expr, envir, enclos) : object 'package' not found". I looked into fArma, but to no avail. What should I do? What is object 'package'?:
> #Examples 
> #Fit GE data using AR(1),AR(6), MA(2), ARMA(2,1), ARIMA(2,1,0) Models
> # Yt = a * Y(t-1) + et
>
> Price<-scan("C:\\R\\IXIC.txt")
> N<-length(Price)  
> Return<-Price[2:N]/Price[1:(N-1)]-1
> LogReturn<-log(1+Return)
> LogPrice<-log(Price)
>
> library("fSeries")
>
> #Fit GE Daily log return
> fit_ar<-armaFit(formula = LogReturn ~ arima(1,0,0))     #AR (1)
> fit_ar6<-armaFit(formula = LogReturn ~ arima(6,0,0))     #AR (6)
> fit_ma<-armaFit(formula = LogReturn ~ arima(0,0,2))     #ma (2)
> fit_arma<-armaFit(formula = LogReturn ~ arima(2,0,1))   #arma (2,1)    
>
> #arima model fit GE daily log prices
> fit_arima<-armaFit(formula = LogPrice ~ arima(2,1,0))  #arima (2,1,0)           
>        
>
> sink("C:\\R\\ar.txt")
> pdf("C:\\R\\ar.pdf")
> summary(fit_ar)
> dev.off()
> sink()
>
> sink("C:\\R\\ar6.txt")
> pdf("C:\\R\\ar6.pdf")
> summary(fit_ar6)
> dev.off()
> sink()
>
> sink("C:\\R\\ma.txt")
> pdf("C:\\R\\ma.pdf")
> summary(fit_ma)
> dev.off()
> sink()
>
> sink("C:\\R\\arma.txt")
> pdf("C:\\R\\arma.pdf")
> summary(fit_arma)
> dev.off()
> sink()
>
> sink("C:\\R\\arima.txt")
> pdf("C:\\R\\arima.pdf")
> summary(fit_arima)
> dev.off()
> sink()
>
>   
-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock