forecastCovEstimatorsWRTdata      package:dse2      R Documentation

_C_a_l_c_u_l_a_t_e _F_o_r_e_c_a_s_t _C_o_v _o_f _E_s_t_i_m_a_t_o_r_s _W_R_T _D_a_t_a

_D_e_s_c_r_i_p_t_i_o_n:

     forecast covariance of estimated models with respect to a given
     sample

_U_s_a_g_e:

         forecastCovEstimatorsWRTdata(data, estimation.sample=NULL, 
                            compiled=.DSECOMPILED, discard.before=10,
                            horizons=1:12, zero=FALSE, trend=FALSE,quiet=FALSE,
                            estimation.methods=NULL)
         is.forecastCovEstimatorsWRTdata(obj)

_A_r_g_u_m_e_n_t_s:

    data: an object of class TSdata.

estimation.methods: a list as used by estimateModels.

discard.before: an integer indicating the number of points in the
          beginning of forecasts to discard for calculating
          covariances.

    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: an integer indicating the number of points in the
          sample to use for estimation. If it is NULL the whole sample
          is used.

horizons: horizons for which forecast covariance should be calculated.

   quiet: if TRUE then estimation information is not printed.

compiled: a logical indicating if the compiled version of the code
          should be used. (FALSE would typically only be used for
          debugging.)

     obj: an object.

_D_e_t_a_i_l_s:

     Calculate the forecasts cov of models estimated from data with
     estimation methods indicated by estimation.methods  (see
     estimateModels). estimation.sample is an integer indicating the
     number of points in the sample to use for estimation. If it is
     NULL the whole sample is used.

_V_a_l_u_e:

     A list with the forecast covariance for supplied models on the
     given sample. This is in the element 'forecastCov' of the result.
     Other elements contain information in the arguments.

_S_e_e _A_l_s_o:

     'outOfSample.forecastCovEstimatorsWRTdata', 'estimateModels'

_E_x_a_m_p_l_e_s:

     if(is.R()) data("eg1.DSE.data.diff", package="dse1")
     z <- forecastCovEstimatorsWRTdata(eg1.DSE.data.diff, 
         estimation.methods=list(estVARXls=list(max.lag=4)))

