Re: [R] how to analyze time series structures?

From: ensark <ensarkurtulus_at_hotmail.com>
Date: Sun, 01 Jun 2008 17:13:14 -0700 (PDT)

:D You are quite polite. Keep the change :)

Richardson, Patrick wrote:
>
> would you like coffee with that?
>
> ________________________________________
> From: r-help-bounces_at_r-project.org [r-help-bounces_at_r-project.org] On
> Behalf Of ensark [ensarkurtulus_at_hotmail.com]
> Sent: Sunday, June 01, 2008 5:30 PM
> To: r-help_at_r-project.org
> Subject: [R] how to analyze time series structures?
>
> hı, I am preparing undergraduate thesis If you help me this would make me
> 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 the
> effect of a large economy’s stock exchange movement on a small economy’s
> stock exchange movement. The foreign stock exchange index follows its own
> dynamics (an AR process is used as a proxy).
> Turkish stock exchange movements are affected by its own lag and movements
> of the foreign stock exchange. Therefore, the foreign stock exchange can
> be
> thought to have an exogenous affect on the Turkish stock exchange. None of
> the lag variables of the Turkish stock exchange determine foreign stock
> exchange; however, lag values and spot values of the foreign stock
> exchange
> 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
> Zha
> (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 bonds
> 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
> explanations
> in detailed also need resources and ready-made codes. How I use MSBVAR
> model
> in R and Can you prepare me toDo list? thank you
>
>
> --
> View this message in context:
> http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17590508.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help_at_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 provide commented, minimal, self-contained, reproducible code.
> This email message, including any attachments, is for th...{{dropped:6}}
>
> ______________________________________________
> R-help_at_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 provide commented, minimal, self-contained, reproducible code.
>
>

-- 
View this message in context: http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17592137.html
Sent from the R help mailing list archive at Nabble.com.

______________________________________________
R-help_at_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 provide commented, minimal, self-contained, reproducible code.
Received on Mon 02 Jun 2008 - 07:02:28 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Mon 02 Jun 2008 - 07:30:39 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive