[R] how to analyze time series structures?
ensarkurtulus at hotmail.com
Mon Jun 2 02:18:55 CEST 2008
Actually I can afford for it. Think that Think
Jorge Ivan Velez wrote:
> Anything else?
> On Sun, Jun 1, 2008 at 5:30 PM, ensark <ensarkurtulus at hotmail.com> wrote:
>> hý, I am preparing undergraduate thesis If you help me this would make
>> feel good.
>> First I need to analyze effect of Dow Jones Industrial average(DJIA)'s
>> return on Istanbul Stock Exchange(ISE). I want to use Markov-Switching
>> Bayesian Vector Autoregression Models (MSBVAR) that is used to examine
>> effect of a large economy's stock exchange movement on a small economy's
>> stock exchange movement. The foreign stock exchange index follows its
>> dynamics (an AR process is used as a proxy).
>> Turkish stock exchange movements are affected by its own lag and
>> of the foreign stock exchange. Therefore, the foreign stock exchange can
>> thought to have an exogenous affect on the Turkish stock exchange. None
>> the lag variables of the Turkish stock exchange determine foreign stock
>> exchange; however, lag values and spot values of the foreign stock
>> affect Turkish stock exchange movement.
>> To calculate the standard errors of the impulse response functions, I
>> should use the modified error bands of Bernanke, Hall, Leeper, Sims and
>> (1996) for the maximum likelihood estimation (MLE).
>> Data structure(time series);
>> for ISE and DJIA
>> daily closing prices from 01.01.1989 to 01.01.2008 in excel format.
>> Also I should provide following spec.;
>> *should fill the missing variables.
>> *the lag order of the identified VAR model is 5 as suggested by Bayesian
>> information criteria.
>> *All error bands for this paper should generated with 2000 Monto Carlo
>> draws. The corresponding impulse responses should reported in the
>> figures(use one-standard deviation shock in order to see impulses.).
>> and I need these outputs;
>> *plot impluse-response figures and should define level of confidence
>> in the figures for every sub-periods
>> *t values of responses from ISE to DJIA.(for 10 days)
>> Finally, I am not good at R statistics(inexperienced) so I need
>> in detailed also need resources and ready-made codes. How I use MSBVAR
>> in R and Can you prepare me toDo list? thank you
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>> PLEASE do read the posting guide
>> and provide commented, minimal, self-contained, reproducible code.
> [[alternative HTML version deleted]]
> R-help at r-project.org mailing list
> PLEASE do read the posting guide
> and provide commented, minimal, self-contained, reproducible code.
> Jorge Ivan Velez
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