[R-SIG-Finance] Simulating VAR model (re-post)

Paul Gilbert pgilbert at bank-banque-canada.ca
Fri Apr 2 00:42:05 CEST 2010


Sorry I missed the original post. 

It seems from what you posted this time that you are using dse, as the
simulate you are picking up is from dse. In dse a VAR model is just a
special case of an ARMA model. I'm not sure what the original question
was, but usually the help page for simulate or the users' guide for dse
is an easier place to start than the code. It is installed when you
install the package, and also available at
http://cran.at.r-project.org/web/packages/dse/vignettes/dse-guide.pdf .
If you tried that already and it doesn't answer your question then
please send the question to me again.

To answer the question in this post, rather than the original question,
I think the code you would like to see is displayed by
dse:::simulate.ARMA . It is also available in the source package at
http://cran.at.r-project.org/src/contrib/dse_2009.10-2.tar.gz .


>-----Original Message-----
>From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-
>bounces at stat.math.ethz.ch] On Behalf Of Ron_M
>Sent: April 1, 2010 3:35 AM
>To: r-sig-finance at stat.math.ethz.ch
>Subject: Re: [R-SIG-Finance] Simulating VAR model (re-post)
>No reply still...............
>Anyway I am planning to sneak into the inside of the "simulate"
>function...........So if I type "simulate" on the console and it throws
>following :
>> simulate
>function (model, ...)
><environment: namespace:dse>
>How to get the code inside the simulate function?
>View this message in context:
>Sent from the Rmetrics mailing list archive at Nabble.com.
>R-SIG-Finance at stat.math.ethz.ch mailing list
>-- Subscriber-posting only. If you want to post, subscribe first.
>-- Also note that this is not the r-help list where general R questions
>should go.

La version française suit le texte anglais.


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