S-PLUS加外生变量问题，求教高手！

Problem in mgarch(p ~ 1,  ~ bekk(1, 1) + a): Length of a (variable 1) is
1 != length of others (507)
里面a是外生变量，一共是507个数据，请问上面这句话什么意思啊？我哪里错了啊？是这样加外生变量吗？

# To load the data into S-PLUS
# File/Import Data/From File
# Click [Browse] and select the file  收益率序列.xls ,(外生变量1.xls )
# Name the Data sets                      rets,           (ex)
# Click Options tab, and uncheck box next to Strings as factors
# Click Okay to load the data into the data.frame rets & ex
module("finmetrics")
rets=rets[3:573,2:3]
ex1=ex[1:571,2]
rets.bekk.ex = mgarch(rets~1, ~bekk(1,1)+ex1)
summary(rets.bekk.ex)
Call:
mgarch(formula.mean = rets ~ 1, formula.var =  ~ bekk(1, 1) + ex1)
Mean Equation: structure(.Data = rets ~ 1
, class = "formula"
)
Conditional Variance Equation: structure(.Data =  ~ bekk(1, 1) + ex1
, class = "formula"
)
Conditional Distribution:  gaussian
--------------------------------------------------------------
Estimated Coefficients:
--------------------------------------------------------------
                     Value  Std.Error     t value   Pr(>|t|)
          C(1) -1.835e-004 0.00003466  -5.2955937 1.703e-007
          C(2)  2.829e-003 0.00075101   3.7665240 1.829e-004
       A(1, 1)  2.546e-004 0.00004684   5.4362366 8.113e-008
       A(2, 1) -3.787e-004 0.00336307  -0.1126133 9.104e-001
       A(2, 2)  5.316e-003 0.00174399   3.0479451 2.412e-003
ARCH(1; 1, 1)  3.162e-001 0.05224903   6.0521823 2.607e-009
ARCH(1; 2, 1) -2.404e-004 1.22929332  -0.0001956 9.998e-001
ARCH(1; 1, 2) -3.359e-007 0.00238069  -0.0001411 9.999e-001
ARCH(1; 2, 2)  3.162e-001 0.04062901   7.7831114 3.397e-014
GARCH(1; 1, 1)  9.000e-001 0.02936166  30.6528595 0.000e+000
GARCH(1; 2, 1)  1.689e-004 0.80300532   0.0002103 9.998e-001
GARCH(1; 1, 2)  4.067e-007 0.00182455   0.0002229 9.998e-001
GARCH(1; 2, 2)  9.000e-001 0.02620970  34.3388488 0.000e+000
        Z(1,1) -1.336e-005 0.00452151  -0.0029546 9.976e-001
        Z(2,1) -4.392e-003 0.05173756  -0.0848838 9.324e-001
--------------------------------------------------------------
AIC(15) = -9576.569
BIC(15) = -9511.358
Normality Test:
--------------------------------------------------------------
   Jarque-Bera P-value Shapiro-Wilk    P-value
C2       119.0       0       0.9753 0.00079512
C3       179.2       0       0.9672 0.00000001
Ljung-Box test for standardized residuals:
--------------------------------------------------------------
   Statistic P-value Chi^2-d.f.
C2     14.87 0.24874         12
C3     24.20 0.01909         12
Ljung-Box test for squared standardized residuals:
--------------------------------------------------------------
   Statistic  P-value Chi^2-d.f.
C2    31.202 0.001835         12
C3     5.916 0.920269         12
Lagrange multiplier test:
--------------------------------------------------------------
     Lag 1  Lag 2   Lag 3   Lag 4  Lag 5   Lag 6   Lag 7   Lag 8 Lag 9 Lag 10 Lag 11 Lag 12       C
C2 -0.4873 1.5827 -0.2926 -0.1705 2.1562 -0.5029  0.8140 -1.3244 2.146 3.4597 0.1933 0.2793  1.5448
C3  0.6327 0.6461  0.6292 -0.5108 0.4746 -0.1397 -0.9309 -0.2377 1.307 0.9133 0.8077 0.1171 -0.0651
     TR^2  P-value F-stat P-value
C2 30.311 0.002507 2.9135 0.02442
C3  5.801 0.925777 0.5329 0.96025

很显然数据a有问题,

再出错把数据传上来.

######
hp.ibm = seriesMerge(hp.s, ibm.s)
hp.ibm.bekk = mgarch(hp.ibm~1, ~bekk(1,1))
hp.ibm.bekk
hp.ibm.bekk.ex = mgarch(hp.ibm~1, ~bekk(1,1)+seriesData(nyse.s))
summary(hp.ibm.bekk.ex)
Estimated Coefficients:
--------------------------------------------------------------
                     Value  Std.Error     t value   Pr(>|t|)
          C(1)  4.632e-004 4.565e-004  1.015e+000 3.104e-001
          C(2)  1.348e-004 2.855e-004  4.720e-001 6.369e-001
       A(1, 1)  6.802e-003 6.292e-004  1.081e+001 0.000e+000
       A(2, 1)  2.431e-003 5.382e-004  4.517e+000 6.632e-006
       A(2, 2)  3.583e-003 2.641e-004  1.357e+001 0.000e+000
ARCH(1; 1, 1)  3.162e-001 2.963e-002  1.067e+001 0.000e+000
ARCH(1; 2, 1) -1.209e-011 1.482e-002 -8.159e-010 1.000e+000
ARCH(1; 1, 2) -2.887e-010 4.121e-002 -7.005e-009 1.000e+000
ARCH(1; 2, 2)  3.162e-001 3.102e-002  1.019e+001 0.000e+000
GARCH(1; 1, 1)  9.000e-001 1.997e-002  4.507e+001 0.000e+000
GARCH(1; 2, 1) -3.254e-012 1.040e-002 -3.127e-010 1.000e+000
GARCH(1; 1, 2)  3.103e-010 3.027e-002  1.025e-008 1.000e+000
GARCH(1; 2, 2)  9.000e-001 1.698e-002  5.301e+001 0.000e+000
        Z(1,1)  1.945e-004 2.873e+004  6.771e-009 1.000e+000
        Z(2,1) -1.670e-004 7.489e+003 -2.230e-008 1.000e+000

epoh 发表于 2011-9-9 15:57
很显然数据a有问题,再出错把数据传上来.######
hp.ibm = seriesMerge(hp.s, ibm.s)
hp.ibm.bekk = mgarch ...

谢谢您，不过我运行了，还是不成功，应该是数据类型都没有转换呢，我直接从EX里面导入的数据，下面是收益率数据和外生变量数据，您看看，应该怎么转换数据类型，然后帮我运行一下，麻烦了，最好贴一下结果~~谢谢了~~~

这些数据是就是我的数据，您看看，辛苦了

epoh 发表于 2011-9-10 10:34
# To load the data into S-PLUS
# File/Import Data/From File
# Click  and select the file  收益率序 ...

太谢谢您了~~~~~~感动~~

epoh 发表于 2011-9-9 15:57
很显然数据a有问题,再出错把数据传上来.######
hp.ibm = seriesMerge(hp.s, ibm.s)
hp.ibm.bekk = mgarch ...

太谢谢您了，再问一下~~[/img]怎么进行广义非对称BEKK模型的估计啊  

太谢谢您了，再问一下~~[/img]怎么进行广义非对称BEKK模型的估计啊

epoh 发表于 2011-9-8 22:47
# To load the data into S-PLUS
# File/Import Data/From File
# Click  and select the file  收益率序 ...

太谢谢您了，再问一下怎么进行广义非对称BEKK模型的估计啊

抱歉!我没做过这样的模型,
你可依式子自型编程.