BigVAR (version 1.0)

cv.BigVAR: Cross Validation for BigVAR

Description

Cross Validation for BigVAR

Usage

cv.BigVAR(object)

Arguments

object

BigVAR object created from ConstructModel

Value

• An object of class BigVAR.results.

Details

The main function of the BigVAR package. Performs cross validation to select penalty parameters over a training sample (as the minimizer of in-sample MSFE), then evaluates them over a test set. Compares against sample mean, random walk, AIC, and BIC benchmarks. Creates an object of class BigVAR.results

See Also

constructModel, BigVAR.results,BigVAR.est

Examples

data(Y)
# Fit a Basic VARX-L with rolling cross validation
Model1=constructModel(Y,p=4,struct="Basic",gran=c(50,10))
results=cv.BigVAR(Model1)