Analysis of Integrated and Cointegrated Time Series with R (Use R) by Bernhard Pfaff

Analysis of Integrated and Cointegrated Time Series with R (Use R)



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Analysis of Integrated and Cointegrated Time Series with R (Use R) Bernhard Pfaff ebook
Publisher: Springer
Format: pdf
ISBN: 0387759662, 9780387759661
Page: 189


Econometricians seem to be rather slow to adopt new methods and new technology (compared to other areas of statistics), but slowly the use of R is spreading. The target data (Yen) is in the first column along with the two explanatory series (Yen and another asset co-integrated with movement of Yen). The expression "long run" means in this case the "statistical" long run, as used by Engle and Granger in their analysis of integrated and cointegrated time series variables. Xtable is really useful, producing nicely formated latex for R data structures like dataframes, model output, time series. I had to use ps.options(family=”NimbusSan”) to specify another font. As I was using the R package xtable to generate tables I couldn't change them. For example, this recent paper uses a "bivariate integrated moving average model that fits the data on inflation very well," and finds that the long-run trend rate of inflation "is best gauged by focusing solely on prices .. The specification fits fairly well, with an adjusted R-squared of 0.34, and a Breusch-Godfrey Serial Correlation LM Test (2 lags) failing to reject the null at conventional levels. Lupica & Nancy Rapoport: The Bankruptcy Ethics Task Force's Final Report. Also like in any time series analysis we need to distinguish behavior during historic periods with inflation rise, big drop, not only "business as usual" situations. > head(ld_fxy_insamp) [,1] [,2] [,3] . This adds a lot of flexibility and by the latex compiler. What you can do is integrate the R code and text into the same files, then generate the figures and latex text together. The long term coefficients are statistically significant, while the . I'm now receiving requests for references showing how to use R in econometrics, Another useful book is Pfaff's Analysis of Integrated and Cointegrated Time Series with R which covers unit root tests, cointegration, VECM models, etc.