h?, I am preparing undergraduate thesis If you help me this would make me feel good. First I need to analyze effect of Dow Jones Industrial average(DJIA)'s return on Istanbul Stock Exchange(ISE). I want to use Markov-Switching Bayesian Vector Autoregression Models (MSBVAR) that is used to examine the effect of a large economy?s stock exchange movement on a small economy?s stock exchange movement. The foreign stock exchange index follows its own dynamics (an AR process is used as a proxy). Turkish stock exchange movements are affected by its own lag and movements of the foreign stock exchange. Therefore, the foreign stock exchange can be thought to have an exogenous affect on the Turkish stock exchange. None of the lag variables of the Turkish stock exchange determine foreign stock exchange; however, lag values and spot values of the foreign stock exchange affect Turkish stock exchange movement. To calculate the standard errors of the impulse response functions, I should use the modified error bands of Bernanke, Hall, Leeper, Sims and Zha (1996) for the maximum likelihood estimation (MLE). Data structure(time series); for ISE and DJIA daily closing prices from 01.01.1989 to 01.01.2008 in excel format. Also I should provide following spec.; *should fill the missing variables. *the lag order of the identified VAR model is 5 as suggested by Bayesian information criteria. *All error bands for this paper should generated with 2000 Monto Carlo draws. The corresponding impulse responses should reported in the figures(use one-standard deviation shock in order to see impulses.). and I need these outputs; *plot impluse-response figures and should define level of confidence bonds in the figures for every sub-periods *t values of responses from ISE to DJIA.(for 10 days) Finally, I am not good at R statistics(inexperienced) so I need explanations in detailed also need resources and ready-made codes. How I use MSBVAR model in R and Can you prepare me toDo list? thank you -- View this message in context: http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17590508.html Sent from the R help mailing list archive at Nabble.com.

would you like coffee with that? ________________________________________ From: r-help-bounces at r-project.org [r-help-bounces at r-project.org] On Behalf Of ensark [ensarkurtulus at hotmail.com] Sent: Sunday, June 01, 2008 5:30 PM To: r-help at r-project.org Subject: [R] how to analyze time series structures? h?, I am preparing undergraduate thesis If you help me this would make me feel good. First I need to analyze effect of Dow Jones Industrial average(DJIA)'s return on Istanbul Stock Exchange(ISE). I want to use Markov-Switching Bayesian Vector Autoregression Models (MSBVAR) that is used to examine the effect of a large economy?s stock exchange movement on a small economy?s stock exchange movement. The foreign stock exchange index follows its own dynamics (an AR process is used as a proxy). Turkish stock exchange movements are affected by its own lag and movements of the foreign stock exchange. Therefore, the foreign stock exchange can be thought to have an exogenous affect on the Turkish stock exchange. None of the lag variables of the Turkish stock exchange determine foreign stock exchange; however, lag values and spot values of the foreign stock exchange affect Turkish stock exchange movement. To calculate the standard errors of the impulse response functions, I should use the modified error bands of Bernanke, Hall, Leeper, Sims and Zha (1996) for the maximum likelihood estimation (MLE). Data structure(time series); for ISE and DJIA daily closing prices from 01.01.1989 to 01.01.2008 in excel format. Also I should provide following spec.; *should fill the missing variables. *the lag order of the identified VAR model is 5 as suggested by Bayesian information criteria. *All error bands for this paper should generated with 2000 Monto Carlo draws. The corresponding impulse responses should reported in the figures(use one-standard deviation shock in order to see impulses.). and I need these outputs; *plot impluse-response figures and should define level of confidence bonds in the figures for every sub-periods *t values of responses from ISE to DJIA.(for 10 days) Finally, I am not good at R statistics(inexperienced) so I need explanations in detailed also need resources and ready-made codes. How I use MSBVAR model in R and Can you prepare me toDo list? thank you -- View this message in context: http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17590508.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. This email message, including any attachments, is for th...{{dropped:6}}

Anything else? Jorge On Sun, Jun 1, 2008 at 5:30 PM, ensark <ensarkurtulus@hotmail.com> wrote:> > hý, I am preparing undergraduate thesis If you help me this would make me > feel good. > First I need to analyze effect of Dow Jones Industrial average(DJIA)'s > return on Istanbul Stock Exchange(ISE). I want to use Markov-Switching > Bayesian Vector Autoregression Models (MSBVAR) that is used to examine the > effect of a large economy's stock exchange movement on a small economy's > stock exchange movement. The foreign stock exchange index follows its own > dynamics (an AR process is used as a proxy). > Turkish stock exchange movements are affected by its own lag and movements > of the foreign stock exchange. Therefore, the foreign stock exchange can be > thought to have an exogenous affect on the Turkish stock exchange. None of > the lag variables of the Turkish stock exchange determine foreign stock > exchange; however, lag values and spot values of the foreign stock exchange > affect Turkish stock exchange movement. > To calculate the standard errors of the impulse response functions, I > should use the modified error bands of Bernanke, Hall, Leeper, Sims and Zha > (1996) for the maximum likelihood estimation (MLE). > > Data structure(time series); > for ISE and DJIA > daily closing prices from 01.01.1989 to 01.01.2008 in excel format. > > Also I should provide following spec.; > *should fill the missing variables. > *the lag order of the identified VAR model is 5 as suggested by Bayesian > information criteria. > *All error bands for this paper should generated with 2000 Monto Carlo > draws. The corresponding impulse responses should reported in the > figures(use one-standard deviation shock in order to see impulses.). > > and I need these outputs; > *plot impluse-response figures and should define level of confidence bonds > in the figures for every sub-periods > *t values of responses from ISE to DJIA.(for 10 days) > > Finally, I am not good at R statistics(inexperienced) so I need > explanations > in detailed also need resources and ready-made codes. How I use MSBVAR > model > in R and Can you prepare me toDo list? thank you > > > -- > View this message in context: > http://www.nabble.com/how-to-analyze-time-series-structures--tp17590508p17590508.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >[[alternative HTML version deleted]]