LS.AR

The function returns parameter estimates and forecasts from OLS estimation for AR models

Contains functions for bias-Corrected Forecasting and Bootstrap Prediction Intervals for Autoregressive Time Series.

Jae Kim

BootPR

Bootstrap Prediction Intervals and Bias-Corrected Forecasting

LS.AR function

<dl> <dt>x</dt>
<dd>a time series data set</dd> <dt>p</dt>
<dd>AR order</dd> <dt>h</dt>
<dd>the number of forecast period</dd> <dt>prob</dt>
<dd>a vector of probabilities</dd> <dt>type</dt>
<dd>"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend</dd></dl>

Arguments

Author

OLS parameter estimates and forecasts, no bias-correction — LS.AR

<dl>

 <dt>x</dt>
<dd>a time series data set</dd>

 <dt>p</dt>
<dd>AR order</dd>

 <dt>h</dt>
<dd>the number of forecast period</dd>

 <dt>prob</dt>
<dd>a vector of probabilities</dd>

 <dt>type</dt>
<dd>"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend</dd>

</dl>

LS.AR: OLS parameter estimates and forecasts, no bias-correction

Description

Usage

Value

Arguments

Author

Examples