Re: [R] fSeries - Ox - ver: 240.10068 - Steps to make it work

From: Ian Gregory <ian_at_iangregory.com>
Date: Sun, 17 Jun 2007 09:40:46 +1000

I received your error now:

In the function .garchOxFit the following line: write(x, file = "OxSeries.csv", ncolumns = 1, append = TRUE)

should be changed to:
write(x = series, file = "OxSeries.csv", ncolumns = 1, append = TRUE)

(See below for how to reproduce this error - and identify the fix).



Starting a fresh session of R-Project and typing:

library(fSeries)
rm(x)
ianSeries = dem2gbp[, 1]
garchOxFit(~garch(1,1),ianSeries)

Gives the error:



Error in cat(x, file = file, sep = c(rep.int(sep, ncolumns - 1), "\n"), :  object "x" not found

The variable x is recognised in function: garchOxFit but not: .garchOxFit and not the function: .cat.

doing this shows why:



options(error=recover)
debug( .garchOxFit)
debug(write)

The inputs for: .garchOxFit

.garchOxFit(formula.mean, formula.var, series = x, cond.dist,

    include.mean, trace, control, title, description)

NOTE: The data is now represented by the variable: series and the variable x does not exist.
To write the data to the file: OxSeries.csv. The data variable (series) needs to be
passed to the write function.

This line:
 write(x, file = "OxSeries.csv", ncolumns = 1, append = TRUE)

should be changed to:
write(x = series, file = "OxSeries.csv", ncolumns = 1, append = TRUE)

regards,

Ian.

> Line number 55 in the original mail from 2005 was a reference to
> garchOxFit (not .garchOxFit) in fSeries version 220.10063 (not 240.10068),
> as mentioned in
> https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000498.html . Of
> course, in the current version of .garchOxFit, the line number has
> changed, but the line should still be there, and if .garchOxFit has less
> than 55 lines, it should be easy to find.
> Does your example still work, if you don't have a variable 'x' visible to
> garchOxFit (in your environment/search path)? I suppose garchOxFit just
> uses the series stored in 'x' (in your current workspace) instead of
> 'IanSeries' (which is even worse than aborting...).

>

> Regards,
>

> Martin
>
>

> Ian Gregory schrieb:
>> I tried the following and it works for me (after the changes to make):
>>
>> library(fSeries)
>> data(dem2gbp)
>> IanSeries = dem2gbp[, 1]
>> garchOxFit(~garch(1,1),IanSeries)
>>
>> Any writing of data is performed in the GarchOxModelling.ox file.
>> The number of lines of code in the function .garchOxFit() does not appear
>> to go up to 55.  When using:  edit(garchOxFit).
>>
>> I get for the output from the estimation to be:
>>
>> .......
>> .......
>> Estimated Parameters Vector :
>> -0.006183; 0.010761; 0.153406; 0.805877
>>
>>
>> regards,
>>
>> Ian.
>>
>>
>> ----- Original Message ----- From: "Martin Becker" 
>> <martin.becker_at_mx.uni-saarland.de>
>> To: "Ian Gregory" <ian_at_iangregory.com>
>> Cc: <r-help_at_stat.math.ethz.ch>; <wuertz_at_itp.phys.ethz.ch>
>> Sent: Saturday, June 16, 2007 8:31 PM
>> Subject: Re: [R] fSeries - Ox - ver: 240.10068 - Steps to make it work
>>
>>
>>> I think there is still a small bug which I reported some time ago to 
>>> r-sig-finance 
>>> (https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000498.html) and 
>>> which takes effect if the time series is not stored in the variable 'x':
>>>
>>> The line
>>>
>>>    write(x, file = "OxSeries.csv", ncolumns = 1, append = TRUE)
>>>
>>> in .garchOxFit() (fSeries version 240.10068) should read
>>>
>>>    write(x = series, file = "OxSeries.csv", ncolumns = 1, append = TRUE)
>>>
>>> instead.
>>>
>>> Incorporating the changes for OX-G_at_RCH4.2 could be a good occasion to 
>>> fix this as well :-)
>>>
>>> Regards,
>>>
>>>  Martin
>>>
>>>
>>> Ian Gregory wrote:
>>>> -Bugs and fixes reported to Diethelm Wuertz.
>>>> -In the interim.  To make the Ox functions part of the fSeries package 
>>>> work please follow the following steps.
>>>>
>>>>
>>> [snip]
>>>
>>>
>

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