From ripley at stats.ox.ac.uk  Mon Dec 10 11:50:27 2007
From: ripley at stats.ox.ac.uk (ripley at stats.ox.ac.uk)
Date: Mon, 10 Dec 2007 11:50:27 +0100 (CET)
Subject: [Rd] Package tseries Garch (PR#10504)
Message-ID: <20071210105027.5F2F8282EFF6@mail.pubhealth.ku.dk>

This is a known problem with a contributed package, so please contact the 
maintainer.  It is not a bug in R, so not appropriate to R-bugs.

The example works in Rterm: the problem is the use of Fortran I/O, which 
has never been supported for consoles and nowadays hangs in Rgui.  This 
has been discussed several times before on the lists, and 
RSiteSearch("tseries hangs") would have found e.g.

http://finzi.psych.upenn.edu/R/Rhelp02a/archive/113444.html


On Sun, 9 Dec 2007, babel at centrum.sk wrote:

> Full_Name: Jan Troger
> Version: R version 2.6.0 (2007-10-03)
> OS: Windows
> Submission from: (NULL) (158.193.95.57)
>
>
> Version of tseries is : 0.10-12
> The example(garch) doesnt work
> This >>:
> n <- 1100
> a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients
> e <- rnorm(n)
> x <- double(n)
> x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
> for(i in 3:n) # Generate ARCH(2) process
> {
> x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
> }
> x <- ts(x[101:1100])
> x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2)
> summary(x.arch) # Diagnostic tests
> plot(x.arch)
>
> <<
>
> I have the same problem as it was mentioned in message id=2302, but the result
> is a little bit different. The last 2 rows are :
>
> garch> x.arch <- garch(x, order = c(0,2))  # Fit ARCH(2)
>
> ***** ESTIMATION WITH ANALYTICAL GRADIENT *****
>
> and I have wait 20 minutes and nothing happened.Only the processor was busy on
> 100%
> I try to change data length, also add itmax=10 , but still with the same
> result.
>
> Thanks in advance
>
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
>

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595



[Rd] Package tseries Garch (PR#10504)
ripley at stats.ox.ac.uk