[R] highfrequency package-jump test

Zixuan Qi z|xu@n@q| @end|ng |rom duke@edu
Sat Oct 10 02:13:30 CEST 2020


Hello,

My programming is as follows.

library(highfrequency)
library(data.table)
library(xts)
tm<-seq.POSIXt(from = as.POSIXct("2020-08-20 09:30:00"),to = as.POSIXct("2020-08-20 15:59:00"),by='min')
data<-xts(x=data$PRICE,order.by=tm)
data <- as.data.table(data)
setnames(data,c('index'),c('DT'))
setnames(data,c('V1'),c('PRICE'))
LMtest <- intradayJumpTest(pData = data,volEstimator = "RM", driftEstimator = "none",RM = "bipower", lookBackPeriod = 20,on = 'minutes', k = 5, marketOpen = "09:30:00",marketClose = "15:59:00")
plot(LMtest)

However, the error is that ''Error in xy.coords(x, y, setLab = FALSE) : 'x' and 'y' lengths differ''. I don't know how to correct it.


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