[R-SIG-Finance] Compute jump test statistic

[G See]

We don't have your data, so we can't get past
    numr = 1 - (outads$medrv/outads$rv)
    Error: object 'outads' not found

Please see:
tinyurl.com/reproducible-000
and
http://www.r-project.org/posting-guide.html

Also, it wouldn't hurt to explain what you're doing, what all those
terms are in your formula, and what the notation means.

Finally, only send text e-mails to the list; no HTML.

Garrett

On Mon, Jun 18, 2012 at 2:16 PM, Caolan Harvey
<caolan.harvey6 at mail.dcu.ie> wrote:
>  Im trying to compute the following statistic testing for jumps in high
> frequecy asset prices,
> J t,M  =  (1 – MedRVt,M / RVt,M) /(sqrt*( 0.96 * 1/M * max(1, MedRQt,M/
> MedRV2t,M ))
>
>
> I have in R:
>
> ## ADS Test Statistic
>
>> numr = 1 - (outads$medrv/outads$rv)> outads$medrq/(outads$medrv^2) -> denom2> fix(denom2)
>
>
>
> But when I  try to run the max(1, MedRQt,M/ MedRV2t,M)) part I get:
>
>
>
>> max(1, denom2)[1] NA
>
>
> I guess this is returned because I am tryin to maximise a time series /
> sequence against a constant but I am not sure how to run this?
>
> Any advice?
> Thanks
>
>        [[alternative HTML version deleted]]
>
>
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