964 search results for "LaTeX"

Stata-like Marginal Effects for Logit and Probit Models in R

May 17, 2011
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Stata-like Marginal Effects for Logit and Probit Models in R

Although this blog’s primary focus is time series, one feature I missed from Stata was the simple marginal effects command, ‘mfx compute’, for cross-sectional work, and I could not find an adequate replacement in R. To bridge this gap, I’ve written a (rather messy) R function to produce marginal effects readout for logit and probit

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AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011
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AIB Stock Price, EGARCH-M, and rgarch

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,

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Cointegration, R, Irish Mortgage Debt and Property Prices

May 15, 2011
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Cointegration, R, Irish Mortgage Debt and Property Prices

As a follow-up to my post examining the stationarity of the new property price index, this post will briefly look at some of the dynamics of mortgage debt and property prices; all data is monthly, from the beginning of 2005 to March 2011. This will also serve as an illustration of the ‘vars‘ and ‘urca‘

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The New Irish House Price Index

May 14, 2011
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The New Irish House Price Index

On Friday, the CSO released a new house (and apartment) price index, for the national, Dublin, and national excluding Dublin regions. The release has been noted and covered by the great Irish Economy and Namawinelake blogs. I want to briefly look at some of the statistical properties of this series in more detail. Below is

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Potential Output and the Irish Output Gap

May 14, 2011
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Potential Output and the Irish Output Gap

One prominent feature of early degree-level macroeconomics courses is the concept of ‘potential output’, which one could roughly define as the level of output (GDP) at which inflation is not ‘accelerating’. Potential output is of interest to macroeconomists when analysing the question of output gaps and macroeconomic stabilisation policies by governments, whether that be in

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Describing Data: Frequently Used Commands

May 13, 2011
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Describing Data: Frequently Used Commands

Obtaining a coherent numerical summary of data is a common task, and it is common to want to port these summary statistics into a table of results. When I am in interactive mode with my data, I use the summary() command applied to my data frame. For ...

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Describing Data: Frequently Used Commands

May 13, 2011
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Describing Data: Frequently Used Commands

Obtaining a coherent numerical summary of data is a common task, and it is common to want to port these summary statistics into a table of results. When I am in interactive mode with my data, I use the summary() command applied to my data frame. For ...

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Because it’s Friday: French Press Heat Retention

May 13, 2011
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Because it’s Friday: French Press Heat Retention

While responding to this thread on Reddit I made a rough guess as to the heat retention of my french press when completely full of coffee. When I went to bed I realized there was no good reason why I … Continue reading →

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Le Monde puzzle [#14]

May 13, 2011
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Le Monde puzzle [#14]

Last week Le Monde puzzle (I have not received this week issue yet!) was about deriving an optimal strategy in less than 25 steps for finding the 25 answers to a binary multiple choice test, when at each trial, only the number of correct answers is known. Hence, if the correct answers are y1,…,y25, and

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The confusing gamma parameter

May 13, 2011
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The confusing gamma parameter

Boris from Ottawa sent me this email about Introducing Monte Carlo Methods with R: As I went through the exercises and examples, I believe I found a typo in exercise 6.4 on page 176 that is not in the list of typos posted on  your website.  For simulation of Gamma(a,1) random variables with  candidate distribution

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