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

From: ensark <ensarkurtulus_at_hotmail.com>
Date: Sun, 01 Jun 2008 17:18:55 -0700 (PDT)

Actually I can afford for it. Think that Think

Jorge Ivan Velez wrote:

> 
> Anything else?
> 
> 
> Jorge
> 
> 
> 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
>> 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.
>>
> 
> 	[[alternative HTML version deleted]]
> 
> 
> ______________________________________________
> 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.
> 
> 
> -----
> Thanks,
> 
> 
> Jorge Ivan Velez
> 

-- 
View this message in context: http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17592166.html
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Received on Mon 02 Jun 2008 - 07:22:35 GMT

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