Financial professional with expertise in financial modeling, risk management, and related quantitative methods including Monte Carlo simulation, linear and logit regression, and statistical hypotheses testing. For past few years have been engaged in developing econometrics models related to Stress testing for a large financial institution.

Jul
24
comment In R, using the vars package doing a VAR model, how to specify one specific lag within the p argument?
I studied the restrict function, and I get to eliminate the first three lags and include the 4th one in the following fashion. This follows the coding instruction of Bernhard Pfaff, the author of the vars package. Unfortunately, it did not work... varmodel2<-VAR(matrix1, p = 4, type = "const", season = 4) restrict<-matrix(0,0,0,0,0,0, 0,0,0,0,0,0, 0,0,0,0,0,0, 1,1,1,1,1,1),nrow=4,ncol=6,byrow=TRUE) restrict(varmodel2,method = "man", resmat = restrict)
Jul
24
comment I am doing a VAR model, and I can't get all the Impulse Response graphs. What am I not doing?
As an alternative, I just extracted the Impulse Response values in Excel. Then, graphed it within Excel. A bit time consuming and burdensome. But, ultimately really effective.
Jul
24
comment In R, using the vars package doing a VAR model, how to specify one specific lag within the p argument?
Ok, I'll educate myself about the restrict () function and go from there. Hopefully, I'll make some good sense out of it. I am sure your coding is ok. I just have to internalize the coding firsthand, to have a sense of how it works.
Jul
24
awarded Commentator
Jul
24
comment I am doing a VAR model, and I can't get all the Impulse Response graphs. What am I not doing?
I apologize the printing of my codes is not as clear as how you guys do it. The key is that I have built a simple VAR model that does what it is supposed to do with 5 different macroeconomic variables as defined in my question. But, at the end when I do: plot(var.irf) to actually graph those impulse response functions, this function generated only some of the graphs but not all of them.
Jul
24
comment I am doing a VAR model, and I can't get all the Impulse Response graphs. What am I not doing?
Here are my relevant codes: matrix1<- matrix1[ c("h", "gdp", "sp", "l", "d")] varmodel1<-VAR(matrix1, p = 1, type = "const", season = 4) summary(varmodel1) irf(varmodel1,impulse = NULL, response = "d",n.ahead = 10, ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95, runs = 100, seed = NULL) var.irf<-irf(varmodel1,impulse = NULL, response = "d",n.ahead = 10, ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95, runs = 100, seed = NULL) plot(var.irf)
Jul
23
asked I am doing a VAR model, and I can't get all the Impulse Response graphs. What am I not doing?
Jul
23
comment In R, using the vars package doing a VAR model, how to specify one specific lag within the p argument?
Jilber, I apologize but I don't understand your codes, especially the resmat part. Below are the codes I used to do a basic VAR model with just Lag 1 Quarter using p = 1. varmodel1<-VAR(matrix1, p = 1, type = "const", season = 4). As indicated, if I do p =4, it does all four quarter lags. When I just want to do the 4th quarter lag alone.
Jul
23
asked In R, using the vars package doing a VAR model, how to specify one specific lag within the p argument?
Jul
23
accepted What is the meaning of Confidence Intervals regarding Hold Out samples?
Jul
22
comment What is the meaning of Confidence Intervals regarding Hold Out samples?
Aksakal, thank you so much, this is an extremely informative answer. I will read and digest all this information tonight.
Jul
22
comment What is the meaning of Confidence Intervals regarding Hold Out samples?
The Chow test deals with structural breaks in your data.en.wikipedia.org/wiki/Chow_test. That's very different. You may be talking of a different Chow test. Would you have a relevant link?
Jul
22
asked What is the meaning of Confidence Intervals regarding Hold Out samples?
May
27
awarded Student
May
26
awarded Popular Question
May
15
awarded Notable Question
Mar
31
answered Should I use the t-test or the Wilcoxon rank sum test given these qqplots and Shapiro-Wilk stats
Mar
31
comment In R Studio, how to save your graphs?
rawr, so you suggest that save.image is better than going through the Project interface?
Mar
30
comment In R Studio, how to save your graphs?
r2evans, those are good leads. Thanks
Mar
30
asked In R Studio, how to save your graphs?
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