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BigVAR (version 1.1.2)

cv.BigVAR: Cross Validation for BigVAR

Description

Cross Validation for BigVAR

Usage

cv.BigVAR(object)

Value

An object of class BigVAR.results.

Arguments

object

BigVAR object created from ConstructModel

Details

The main function of the BigVAR package. Performs cross validation to select penalty parameters over a training sample (as the minimizer of in-sample MSFE), then evaluates them over a test set. Compares against sample mean, random walk, AIC, and BIC benchmarks. Creates an object of class BigVAR.results

See Also

constructModel, BigVAR.results,BigVAR.est

Examples

Run this code
data(Y)
# Fit a Basic VARX-L with rolling cross validation 
Model1=constructModel(Y,p=4,struct='Basic',gran=c(50,10), verbose=FALSE)
results=cv.BigVAR(Model1)

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