dse: estimatorsHorizonForecastsWRTdata – R documentation

Pricing

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

Get Started for Free

Documentation

dse

estimatorsHorizonForecastsWRTdata

Estimate models and forecast at given horizons

Description

Estimate models and forecast at given horizons.

Usage

estimatorsHorizonForecastsWRTdata(data, 
                       estimation.sample=.5, horizons=1:12,quiet=FALSE,
                       estimation.methods=NULL)

Arguments

`data`	A TSdata object.
`estimation.methods`	A list of estimation methods to use. (See estimateModels.)
`estimation.sample`	The portion of the sample to use for estimation.
`horizons`	The horizons for which forecasts are to be produced.
`quiet`	If true no estimation information is printed.

Details

estimation.sample indicates the part of the data to use for estimation. If estimation.sample is less than or equal 1.0 it is used to indicate the portion of points to use for estimation. Otherwise it should be an integer and is used to indicate the number of points from the beginning of the sample to use for estimation.

Value

A list of forecasts at different horizons as returned by horizonForecasts.

Examples

data("eg1.DSE.data.diff", package="dse")
z <-  estimatorsHorizonForecastsWRTdata(eg1.DSE.data.diff, 
    estimation.methods=list(estVARXls=list(max.lag=3), 
                estVARXar=list(max.lag=3)))

dse

Dynamic Systems Estimation (Time Series Package)

v2020.2-1

GPL-2

Authors

Paul Gilbert <pgilbert.ttv9z@ncf.ca>

Initial release