Articles by sang-heon lee

Some Interesting Issues in VECM using R

December 28, 2021 | sang-heon lee

This post deals with some interesting issues regarding the VECM model. Among them are the VAR representation of VECM, the weak exogeniety restrictions and user-defined cointegrating vectors and so on. With the help of useful R packages, these is...
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Easy Interpretations of ADF Test in R

December 5, 2021 | sang-heon lee

This post shows how to interpret the results of the augmented Dickey-Fuller (ADF) test easily with the help of Hank Roark's R function. His R function provides kind descriptions of the results of a unit root ADF test. I explains why this description...
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Augmented Dickey-Fuller (ADF) Test in R

December 4, 2021 | sang-heon lee

This post explains how to use the augmented Dickey-Fuller (ADF) test in R. The ADF Test is a common statistical test to determine whether a given time series is stationary or not. We explain the interpretation of ADF test results from R package by m...
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Vector Autoregressive Model (VAR) using R

November 28, 2021 | sang-heon lee

This post gives a brief introduction to the estimation and forecasting of a Vector Autoregressive Model (VAR) model using R . We use vars and tsDyn R package and compare these two estimated coefficients. We also consider VAR in level and VAR in diff...
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Bond Forward Pricing using R code

November 6, 2021 | sang-heon lee

This post presents a R code for pricing a bond forward. It is well known that insurance companies use it as the instrument of a duration management with lower cost. Here, a pricing formula and its implementation are provided with delta sensitivity u...
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