dse (version 2020.2-1)

outOfSample.forecastCovEstimatorsWRTdata: Calculate Out-of-Sample Forecasts

Description

Calculate out-of-sample forecasts.

Usage

outOfSample.forecastCovEstimatorsWRTdata(data, zero=FALSE, trend=FALSE,
                       estimation.sample=.5, horizons=1:12,quiet=FALSE,
                       estimation.methods=NULL, compiled=.DSEflags()$COMPILED)

Arguments

data

an object of class TSdata.

estimation.methods

a list as used by estimateModels.

zero

if TRUE then forecastCov is also calculated for a forecast of zero.

trend

if TRUE then forecastCov is also calculated for a forecast of a linear trend.

estimation.sample

indicates the portion of the data to use for estimation. If estimation.sample is an integer then it is used to indicate the number of points in the sample to use for estimation. If it is a fracton it is used to indicate the portion of points to use for estimation. The remainder of the sample is used for evaluating forecasts.

horizons

horizons for which forecast covariance should be calculated.

quiet

if TRUE then estimation information is not printed.

compiled

a logical indicating if compiled code should be used. (Usually true except for debugging.)

Value

An object as returned by forecastCovEstimatorsWRTdata.

Details

The data is slpit into a sub-sample used for estimation and another sub-sample used for calculating the forecast covariance.

See Also

forecastCovEstimatorsWRTdata, forecastCovEstimatorsWRTtrue, estimateModels

Examples

# NOT RUN {
data("eg1.DSE.data.diff", package="dse")
z <-  outOfSample.forecastCovEstimatorsWRTdata(eg1.DSE.data.diff,
           estimation.methods=list(estVARXls=list(max.lag=4)))
# }