[R] Engle Granger Test in R

Hi, Please tell me the R codes for Engle Granger Test of cointegration. TIA Aditya __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provid

[R] Fitting VAR and doing Johansen's cointegration test in R

Hi, Could someone please tell me the R codes for fitting VAR(p) (Vector Auto Regressive) models and doing the Johansen’s cointegration tests. TIA Aditya __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read th

[R] Confidence Interval in ARMA mean GARCH model

Hi, How do I change Confidence Interval level (say from 95% to 80%) while getting prediction intervals for ARMA mean models, and GARCH models in R? TIA Aditya __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do r

[R] Fitting a GARCH model in R

Hi, I want to fit a mean and variance model jointly. For example I might want to fit an AR(2)-GARCH(1,1) model i.e. r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t where a_t = sigma_t*epsilon_t where sigma^2_t = constant_term2 + p*sigma^2_t-1 + q*a^2_t-1 i.e. R estimates a constant_term1, b, c

[R] Dickey–Fuller test in R

Hi, While doing the adf test using ur.df “price.df2=ur.df(y=log(price),type = "drift", selectlags="AIC") summary(price.df2)” It gives two values for “value of test statistic is: -1.5992   2.32” one value is the t-test (or t-ratio), what is the other one? Please help. TIA Aditya ___

[R] Fitting a regression model with with ARMA error

Hi, I want to fit a regression model with one independent variable. The error part should be fitted an ARMA process. For example, y_t = a + b*x_t + e_t where e_t is modelled as an ARMA process. Please let me know how do I do this in R. What code should I use? TIA Aditya [[alternative

[R] R code for EGARCH

Hi, Can we run EGARCH in R. If yes, I would be grateful if someone could tell me the R codes for running EGARCH model. Thanks. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-he

[R] McLeod.Li.test

Hi, I wanted to know that in the “McLeod.Li.test” P-value graph, at what level is the dotted line drawn? Also can it be changed? Thanks. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/list