forecastCovReductionsWRTtrue      package:dse2      R Documentation

_F_o_r_e_c_a_s_t _c_o_v_a_r_i_a_n_c_e _f_o_r _d_i_f_f_e_r_e_n_t _m_o_d_e_l_s

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

     Calculate the forecast covariance for different models.

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

        forecastCovReductionsWRTtrue(true.model, rng=NULL,
                            simulation.args=NULL,
                            est.replications=2, pred.replications=2,
                            discard.before=10, horizons=1:12,quiet=FALSE,
                            estimation.methods=NULL,
                            criteria=NULL, compiled=.DSECOMPILED, 
                            Spawn=if (exists(".SPAWN")) .SPAWN else FALSE)

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

true.model: An object of class TSmodel or TSestModel.

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

est.replications: an interger indicating the number of times simulation
          and estimation are repeated.

pred.replications: an argument passed to 'forecastCovWRTtrue'.

simulation.args: A list of any arguments which should be passed to
          simulate in order to simulate the true model.

horizons: Horizons for which forecast covariance should be calculated.

     rng: If specified then it is used to set RNG.

   Spawn: If TRUE then Splus For loops are used.

   quiet: If TRUE then some messages are not printed.

estimation.methods: a list as used by estimateModels.

criteria: a ...

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

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

     Calculate the forecasts cov of reduced models estimated from
     simulations of true.model with an estimation method indicated by
     estimation.methods.  (estimation.methods is as in
     estimation.models BUT ONLY THE FIRST IS USED.) discard.before is
     an integer indicating 1+the number of points in the beginning of
     forecasts to discard for calculating forecast covariances.
     criteria can  be a vector of criteria as in informationTests, (eg
     c("taic", "tbic") in which case the "best" model for each criteria
     is accounted separately. (ie. it is added to the beginning of the
     list of estimated models)

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

     A list ...

