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dse (version 2006.10-1)

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Install

install.packages('dse')

Monthly Downloads

142

Version

2006.10-1

License

Free. See the LICENCE file for details.

Maintainer

Paul Gilbert

Last Published

February 26th, 2020

Functions in dse (2006.10-1)

EstEval

Evaluate an estimation method
checkBalanceMittnik

Check Balance of a TSmodel
coef.TSmodel

Extract or set Model Parameters
coef.TSmodelEstEval

Specific Methods for coef
combine.TSdata

Combine series from two TSdata objects.
distribution

Plot distribution of estimates
dse-package

Dynamic Systems Estimation - Multivariate Time Series Package
estBlackBox2

Estimate a TSmodel
estSSMittnik

Estimate a State Space Model
estWtVariables

Weighted Estimation
extractforecastCov

Extract Forecast Covariance
excludeForecastCov

Filter Object to Remove Forecasts
featherForecasts

Multiple Horizon-Step Ahead Forecasts
forecastCovReductionsWRTtrue

Forecast covariance for different models
freeze

Get fixed data snapshot
horizonForecastsCompiled

Calculate forecasts at specified horizons
informationTestsCalculations

Calculate selection criteria
is.forecastCovEstimatorsWRTdata.subsets

Check Inheritance
informationTests

Tabulates selection criteria
nstates

State Dimension of a State Space Model
Riccati

Riccati Equation
00.dse.Intro

Dynamic Systems Estimation - Multivariate Time Series Package
TSdata.forecastCov

TS Extractor Specific Methods
TSmodel

Time Series Models
l

Evaluate a TSmodel
observability

Calculate Model Observability Matrix
print.TSestModel

Display TSmodel Arrays
TSestModel

Estimated Time Series Model
print.estimatedModels

Print Specific Methods
roots.estimatedModels

Roots Specific Methods
addDate

Add Periods to a Date
bestTSestModel

Select Best Model
seqN

Tframe Library Utilities
SS

State Space Models
distribution.MonteCarloSimulations

Generate distribution plots of Monte Carlo simulations
roots

Calculate Model Roots
earliestEnd

Start and End for Objects with Multiple Time Series
outOfSample.forecastCovEstimatorsWRTdata

Calculate Out-of-Sample Forecasts
shockDecomposition

Shock Decomposition
seriesNamesInput.forecast

TS Input and Output Specific Methods
eg1.DSE.data

Four Time Series used in Gilbert (1993)
estBlackBox3

Estimate a TSmodel
simulate

Simulate a TSmodel
estMaxLik

Maximum Likelihood Estimation
summary.TSdata

Specific Methods for Summary
estimateModels

Estimate Models
fixConstants

Fix TSmodel Coefficients (Parameters) to Constants
stripMine

Select a Data Subset and Model
testEqual.estimatedModels

Specific Methods for Testing Equality
testEqual.ARMA

Specific Methods for Testing Equality
estVARXls

Estimate a VAR TSmodel
Polynomials

Polynomial Utilities
tfExpand

Expand a Tframe or Tframed Object.
tfstart

Extract Time Frame Information
forecastCov

Forecast covariance for different models
estVARXar

Estimate a VAR TSmodel
inputData

TSdata Series
tfplot.forecastCov

Plots of Forecast Variance
toARMA

Convert to an ARMA Model
l.SS

Evaluate a state space TSmodel
nseriesInput

Number of Series in in Input or Output
permute

Permute
plot.mineStepwise

Plot Mine Stepwise Object
seriesNames.TSdata

Series Names Specific Methods
setArrays

Set TSmodel Array Information
splice

Splice Time Series
stability

Calculate Stability of a TSmodel
setTSmodelParameters

Set TSmodel Parameter Information
summary.estimatedModels

Summary Specific Methods
tfplot.TSdata.ee

Specific Methods for tfplot
tfplot.MonteCarloSimulations

Generate plots of Monte Carlo simulations
tfplot

Plot Tframed Objects
tfspan

Time Span
toSSChol

Convert to Non-Innovation State Space Model
tfwindow

Truncate a Time Series
tfplot.coefEstEval

Specific tfplot methods for coefEstEval (EstEval) objects
00tframe.Intro

Tframe - Generic Approach to Handling Time
DSEutilities

DSE Utilities
sumSqerror

Calculate sum of squared prediction errors
DSEversion

Print Version Information
MittnikReducedModels

Reduced Models via Mittnik SVD balancing
toSSinnov

Convert to State Space Innovations Model
MonteCarloSimulations

Generate simulations
TSdata.object

time series data object
MittnikReduction

Balance and Reduce a Model
addPlotRoots

Add Model Roots to a plot
estBlackBox

Estimate a TSmodel
combine

Combine two objects.
estSSfromVARX

Estimate a state space TSmodel using VAR estimation
estBlackBox4

Estimate a TSmodel
forecastCovCompiled

Forecast covariance for different models - internal
forecastCovEstimatorsWRTtrue

Compare Forecasts Cov Relative to True Model Output
forecastCovWRTtrue

Compare Forecasts to True Model Output
forecastCovEstimatorsWRTdata

Calculate Forecast Cov of Estimators WRT Data
genMineData

Generate Data
forecasts

Extract Forecasts
fixF

Set SS Model F Matrix to Constants
gmap

Basis Transformation of a Model.
horizonForecasts

Calculate forecasts at specified horizons
checkBalance

Check Balance of a TSmodel
ARMA

ARMA Model Constructor
forecast

Forecast Multiple Steps Ahead
McMillanDegree

Calculate McMillan Degree
l.ARMA

Evaluate an ARMA TSmodel
mineStepwise

Mine Stepwise
minForecastCov

Minimum Forecast Cov Models
markovParms

Markov Parameters
classed

Tframe Library Utilities
periodsMonteCarloSimulations

Tframe or Number of Periods
DSEflags

Flags to Indicate Use of Compiled Code
checktframeConsistent

Check for a Consistent tframe
diffLog

Calculate the difference of log data
TSdata

Construct TSdata time series object
periods.TSdata

Specific Methods for tframed Data
acf

Calculate the acf for an object
plot.roots

Plot Model Roots
phasePlots

Calculate Phase Plots
Portmanteau

Calculate Portmanteau statistic
residualStats

Calculate Residuals Statistics and Likelihood
minimumStartupLag

Starting Periods Required
checkResiduals

Autocorrelations Diagnostics
selectForecastCov

Select Forecast Covariances Meeting Criteria
selectSeries

Extract a Subset of Series
seriesNames

Names of Series in a time series object
balanceMittnik

Balance a state space model
egJofF.1dec93.data

Eleven Time Series used in Gilbert (1995)
generateSSmodel

Randomly generate a state space model
makeTSnoise

Generate a random time series
smoother

Evaluate a smoother with a TSmodel
checkConsistentDimensions

Check Consistent Dimensions
testEqual

Compare Two Objects
tfdiff

Time Series Differencing
tfplot.TSdata

Tfplot Specific Methods
estBlackBox1

Estimate a TSmodel
scale.TSdata

Scale Methods for TS objects
estimatorsHorizonForecastsWRTdata

Estimate models and forecast at given horizons
combine.forecastCov

Combine 2 Forecast Cov Objects
tframe

Extract or Set a tframe
toSSOform

Convert to Oform
nseries

Number of Series
tbind

Bind Time Series
totalForecastCov

Sum covariance of forecasts across all series
tframed.TSdata

Specific Methods for tframed Data
percentChange

Calculate percent change
seriesNamesInput

TSdata Series Names
periodsInput

TSdata Periods
percentChange.TSdata

Calculate percent change
print.TSdata

Print Specific Methods
reachability

Calculate Model Reachability Matrix
trimNA

Trim NAs from Time Series
residuals.TSestModel

Calculate the residuals for an object
nseriesfeatherForecasts

Number of Series
state

Extract State
testEqualtframes

Compare Two Time Frames
tfplot.rootsEstEval

Specific tfplot methods for rootsEstEval (EstEval) objects
toSS

Convert to State Space Model
tfprint

Print Tframed Objects
ytoypc

Convert to year to year percent change