急：R软件加载程序包tsDyn问题

The LM test for STAR nonlinearity can be performed in S+FinMetrics
所以首先要载入FinMetrics

1.file\load module\finmetrics  or
2.module(finmetrics)
#########
module(finmetrics)
ndx.ret2 = getReturns(ndx.dat[,"Close"])^2
ndx.rvol = sqrt(aggregate(ndx.ret2, FUN=sum, by="weeks",week.align=1))
nonlinearTest(log(ndx.rvol), method="STAR-LM", p=2, d=1:2)

谢谢你了啊，我试了你给我的程序可以运行，我自己再好好学习一下，有问题再向你请教啊！ 11# epoh

您好！又有问题请教你了，我把数据导入了object explorer，如果我想在commands框（编程窗口）调用这个数据集中的某一个变量该如何编程呢，谢谢你了啊！例如在我导入了名为CPI的excel格式的文件（含有TIME和CPI两个变量），现在想在程序窗口调用CPI变量该如何编程序呢？ 11# epoh

#file name: data.xls
class(data)
#[1] "data.frame"
names(data)
#[1] "TIME" "CPI"
cpi=data$CPI
cpi

您好，我在运行程序时出现了这个问题，麻烦您帮我看下问题出在那里好吗？我运行你发给我的那个程序就不会出问题，谢谢您了啊！

> #file name: y.xls
> class(y)
[1] "data.frame"
> names(y)
[1] "x"
> x
NULL
> x=y$x
> x
  [1] 127.4 128.4 127.1 126.6 124.8 122.8 119.4 115.3 111.5 108.6 107.4 106.6
[13] 104.3 104.4 103.4 103.2 102.7 101.1 101.1 102.5 102.9 103.1 103.7 104.3
[25] 102.2 101.0 101.6 101.3 103.6 104.4 104.7 104.9 104.5 104.8 104.4 104.5
[37] 105.5 105.3 105.3 107.1 104.7 104.8 105.2 105.8 107.5 107.9 108.2 108.8
[49] 110.3 110.5 112.2 112.6 114.0 115.1 116.2 116.0 115.7 115.9 116.7 118.8
[61] 121.1 123.2 122.4 121.7 121.3 122.6 124.0 125.8 127.3 127.7 127.5 125.5
[73] 124.1 122.4 121.3 120.7 120.3 118.2 116.7 114.5 113.2 112.1 111.2 110.1
[85] 109.0 109.3 109.8 109.7 108.9 108.6 108.3 108.1 107.4 107.0 106.9 107.0
[97] 105.9 105.6 104.0 103.2 102.8 102.8 102.7 101.9 101.8 101.5 101.1 100.4
[109] 100.3  99.9 100.7  99.7  99.0  98.7  98.6  98.6  98.5  98.9  98.8  99.0
[121]  98.8  98.7  98.2  97.8  97.8  97.9  98.6  98.7  99.2  99.4  99.1  99.0
[133]  99.8 100.7  99.8  99.7 100.1 100.5 100.5 100.3 100.0 100.0 101.3 101.5
[145] 101.2 100.0 100.8 101.6 101.7 101.4 101.5 101.0  99.9 100.2  99.7  99.7
[157]  99.0 100.0  99.2  98.7  98.9  99.2  99.1  99.3  99.3  99.2  99.3  99.6
[169] 100.4 100.2 100.9 101.0 100.7 100.3 100.5 100.9 101.1 101.8 103.0 103.2
[181] 103.2 102.1 103.0 103.8 104.4 105.0 105.3 105.3 105.2 104.3 102.8 102.4
[193] 101.9 103.9 102.7 101.8 101.8 101.6 101.8 101.3 100.9 101.2 101.3 101.6
[205] 101.9 100.9 100.8 101.2 101.4 101.5 101.0 101.3 101.5 101.4 101.9 102.8
[217] 102.2 102.7 103.3 103.0 103.4 104.4 105.6 106.5 106.2 106.5 106.9 106.5
[229] 107.1 108.7 108.3 108.5 107.7 107.1 106.3 104.9 104.6 104.0 102.4 101.2
[241] 101.0  98.4  98.8  98.5  98.6  98.3  98.2  98.8  99.2  99.5 100.6 101.9
[253] 101.5 102.7 102.4 102.8 103.1
> module(finmetrics)
> nonlinearTest(x, method="STAR-LM", p=2, d=1:2)
Problem in solve.qr(a, b): apparently singular matrix
Use traceback() to see the call stack
> nonlinearTest(log(x), method="STAR-LM", p=2, d=1:2)
Problem in solve.qr(a, b): apparently singular matrix
Use traceback() to see the call stack
>
14# epoh

这跟你的数据有关
因为求解过程会用到
solve(crossprod(rr), diag(k.restrict))

###数据是lynx
>crossprod(rr)
          lag1      lag2      lag1      lag2     lag1      lag2
lag1 12.575130  6.348474 17.784222  9.529057 20.35809 11.688822
lag2  6.348474  7.611890  9.019838  9.198657 10.29759  9.553279
lag1 17.784222  9.019838 25.795302 14.036471 29.87362 17.455131
lag2  9.529057  9.198657 14.036471 12.234994 16.28877 13.568947
lag1 20.358092 10.297585 29.873624 16.288774 34.79839 20.406622
lag2 11.688822  9.553279 17.455131 13.568947 20.40662 15.717428

>solve(crossprod(rr))
          lag1       lag2      lag1      lag2       lag1       lag2
lag1  110.74121  -69.78052 -218.7741  128.9377  123.80462  -69.03512
lag2  -69.78052   65.23911  138.2469 -123.7797  -79.76322   69.12993
lag1 -218.77408  138.24688  442.1080 -259.3908 -253.83493  141.18214
lag2  128.93773 -123.77965 -259.3908  239.9478  151.78494 -136.80259
lag1  123.80462  -79.76322 -253.8349  151.7849  147.34293  -84.03038
lag2  -69.03512   69.12993  141.1821 -136.8026  -84.03038   79.79755

###数据是cpi
>crossprod(rr):
           lag1       lag2       lag1       lag2       lag1       lag2
lag1 0.01564787 0.01475953 0.03040995 0.02874525 0.04403419 0.04171723
lag2 0.01475953 0.01445768 0.02868977 0.02813183 0.04155108 0.04078790
lag1 0.03040995 0.02868977 0.05918261 0.05595727 0.08581856 0.08132714
lag2 0.02874525 0.02813183 0.05595727 0.05482213 0.08116009 0.07960549
lag1 0.04403419 0.04155108 0.08581856 0.08116009 0.12461643 0.11812597
lag2 0.04171723 0.04078790 0.08132714 0.07960549 0.11812597 0.11576519

solve(crossprod(rr))
Problem in solve.qr(a): apparently singular matrix

谢谢啊，有问题再向您请教！ 16# epoh

您好！下面是我用S-PLUS估计的STAR模型结果，麻烦您帮我看一下后面给我的警告是Choleski decomposition时chol(crossp\ rod(x$gradient))不是满秩矩阵造成的吧？是数据本身的原因吧？
> ndx.lstar = STAR(y, p=1, d=2)
>  summary(ndx.lstar)
Call:
STAR(X = y, p = 1, d = 2)
Parameter estimates:
                 Values     Std.Error Std.Error.white
    gamma 1.525360e+002 1.314598e+018            NA  
threshold 8.624000e+000 1.529253e+013            NA  

Coefficient estimates and standard errors:
Lower regime:
                 Values Std.Error Std.Error.white
intercept(lower) 1.432  0.146     0.032         
     lag1(lower) 1.107  0.006     0.000         
Upper regime:
                 Values Std.Error Std.Error.white
intercept(upper) -2.204  0.913     0.228         
     lag1(upper)  0.107  0.013     0.000         
Std. Errors of Residuals:
[1] 3.91
Information Criteria:
     logL      AIC      BIC       HQ
  -81.475  170.950  176.555  172.743

Degrees of freedom:
total residuals
    30        26
Warning messages:
1: Choleski decomposition not of full rank in: chol(crossp\
rod(x$gradient))
2: Choleski decomposition not of full rank in: chol(crossp\
rod(x$gradient))
还有如果我想在S-PLUS里调用转换函数做转换函数和转换变量的散点图应该如何写程序啊？谢谢您了！还有如果我想做LSTAR和ESTAR的转换函数的图形，转换变量可以任意取值（即可以从负无穷取到正无穷），应该如何写程序作图呢？谢谢您了啊！
16# epoh

你是要划page 677的图形?
FIGURE 18.9. Logistic and exponential transition functions

是的，677页的我已经解决。现在我想做出转换变量和转换函数的散点图，想问下您模型估计后可不可以直接调用计算过程中的变量来做出这个散点图! 19# epoh