1640 search results for "Time series"

Monetary Policy & Credit Easing pt. 8: Econometrics Tests in R

January 2, 2012
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Hello, folks its time to cover some important econometrics tests you can do in R.The Akaike information criterion is a measure of the relative goodness of fit of a statistical model.  If you have 10 models and order them by AIC, the...

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Portfolio Optimization in R, Part 4 Redeux

January 2, 2012
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Portfolio Optimization in R, Part 4 Redeux

So where did we mess up? In the calculation of returns for the market cap weighted portfolio andthe portfolio optimization portfolio, we simply took the starting weights (W0)and multiplied them by the relevant series of returns.resEqual = as.matri...

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Portfolio Optimization in R, Part 4 Redeux

January 2, 2012
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Portfolio Optimization in R, Part 4 Redeux

So where did we mess up?  In the calculation of returns for the market cap weighted portfolio and the portfolio optimization portfolio, we simply took the starting weights (W0) and multiplied them by the relevant series of returns.resEqual = as.matrix(returns) %*% t(ret)andsubRes = as.matrix(subRes) %*% t(ret)To correct this, we have 2 options. Recalculate the weight at each time point assuming a starting weight. ...

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Monetary Policy & Credit Easing pt. 7: R Econometrics Tests

January 1, 2012
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In post 6 we introduced some econometrics code that will help those working with time-series to gain asymptoticly efficient results.  In this post we look at the different commands and libraries necessary for testing our assumptions and such. Testing our Assumptions and Meeting the Gauss-Markov TheoremIn this section we will seek to test and verify the assumptions of the simple linear...

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Monetary Policy and Credit Easing pt. 6: Empirical Estimation and Methodology

December 30, 2011
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Monetary Policy and Credit Easing pt. 6: Empirical Estimation and Methodology

IT is now appropriate to lay out our two regression models in full for empirical estimation over our two separate time periods. The first estimation is from 4/1/71 to 7/1/97 and the second is from 4/1/01 to 4/1/11. The methodology employed in the estimation of these two models is a procedure using Generalized Least Squares with a Cochrane-Orcutt, style iterated...

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Pairs Trading Issues

December 20, 2011
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Pairs Trading Issues

(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers) A few words for those of you who are not familiar with the “pairs trading” concept. First you should understand that the movement of every stock is dominated not by the companies performance but by the general market movement. This is the origin of...

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More orthodox ARMA/GARCH trading

December 14, 2011
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More orthodox ARMA/GARCH trading

The system described in the earlier series for ARMA trading was in fact an “extreme” version of the more common, orthodox approach prevailing in the literature. Recently I tried using R to reproduce the results of a particular paper, and that lead to a lot of new developments … How is typically ARMA trading simulated?

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Hello Mr. Bernake…

December 10, 2011
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I was playing around tonight and came across something that looked odd.  Using the importSeries() created before, I grabbed dividend adjusted returns for SHY, IEF, and TLT (iShares Short, Medium, and Long Maturity Treasury ETFs respectively). &nbs...

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Introducing Biostatistics to first year LCG students

December 4, 2011
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Introducing Biostatistics to first year LCG students

Around two weeks ago I gave a talk via skype to the first year students from the Undergraduate Program on Genomic Sciences (LCG in Spanish) from the National Autonomous University of Mexico (UNAM in Spanish). The talk was under the context of the Introduction to Bioinformatics Seminar Series whose goal is to familiarize the new students with the bioinformatics...

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Review of Distance Course: Graduate Certificate in Statistics offered at Sheffield [completed: 3 June 2012]

December 1, 2011
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Recently, on Andrew Gelman's blog there was a discussion about how to get yourself a statistics education (presumably without going through the whole process of becoming a professional statistician). Here's the discussion on Gelman's blog, with lots of...

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