1539 search results for "time series"

p-Values for Cointegration Tests With Breaks in the Data

June 28, 2011
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p-Values for Cointegration Tests With Breaks in the Data

In an earlier post I went through some econometrics that involved the problem of testing for multivariate cointegration in the case where there are one or more trend-breaks or level-breaks in the time-series data.  Specifically, I talked about the modified Trace tests introduced by Johansen et al. (2000), and I mentioned the really nice discussion of the application of these tests...

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RghcnV3 version 1.1

June 27, 2011
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RghcnV3 version 1.1

I’ve just uploaded version 1.1 of  the package RghcnV3 to Cran. I’ve made a few changes that should make it easier for some folks to use. First I removed the requirement for rgdal. At the present time “rgdal” is not required. On the MAC installing it can be a little trouble, but if you RTFM

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Bonds Risk and Return by Rating

June 27, 2011
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Bonds Risk and Return by Rating

As an extension to the Bond Market as a Casino Game series and Historical Sources of Bond Returns-Comparison of Daily to Monthly, I thought a ggplot of risk and return by decade and Moody’s Rating might be helpful.  Anyone who has read those oth...

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A Winking Pink Elephant

June 27, 2011
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A Winking Pink Elephant

The title of chapter 5 in my Guerrilla Capacity Planning book is, "Evaluating Scalability Parameters," and underneath it you'll see this quote:"With four parameters I can fit an elephant. With five I can make his trunk wiggle." —John von NeumannIn that vein, Guerrilla alumnus Stephen O'C. pointed me at a recent blog post and paper (PDF)...

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Confidence, Ending Equity, and What I Can Do as the Money Manager

June 24, 2011
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Confidence, Ending Equity, and What I Can Do as the Money Manager

I wrote this as my quarterly commentary, but compliance blocked it because they said I was implying that I am Warren Buffett or I can replicate Warren Buffett.  Anyways, I thought I should share it as a general discussion piece.  More than on...

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gretl

June 24, 2011
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In comments on a recent post, "Ben" and Tal Galili very sensibly asked if I could make R code available for the econometric analysis in my posts, in addition to EViews code. I'll be trying to do this wherever I can, given the time constraints.The important point implicit in these comments is that R is free, open-source, software, whereas...

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Drawing heatmaps in R

June 24, 2011
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Drawing heatmaps in R

A while back, while reading chapter 4 of Using R for Introductory Statistics, I fooled around with the mtcars dataset giving mechanical and performance properties of cars from the early 70's. Let's plot this data as a hierarchically clustered heatmap.# scale data to mean=0, sd=1 and convert to matrix mtscaled <- as.matrix(scale(mtcars))# create...

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Statistics.com Review

June 20, 2011
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Disclaimer: All prices and classes are approximate and should be confirmed at www.statistics.com as they can change. A comment from my previous post asked me about the experience I had in taking courses from statistics.com (www.statistics.com). To help...

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Calling R lovers and bloggers – to work together on “The R Programming wikibook”

June 20, 2011
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Calling R lovers and bloggers – to work together on “The R Programming wikibook”

This post is a call for both R community members and R-bloggers, to come and help make The R Programming wikibook be amazing. The R Programming wikibook is not just another one of the many free books about statistics/R, it is a community project which aims to create a cross-disciplinary practical guide to the R programming language.  Here is

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Two textbooks on probability using R

June 18, 2011
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Two textbooks on probability using R

This fall, I’ll be teaching a second-year course on Probability with Computer Applications, which is required for Computer Science majors.  I’ve taught this before, but that was five years ago, so I’ve been looking to see what new textbooks would be suitable.  The course aims not just to use computer science applications as examples, but

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