LS.AR

0th

Percentile

OLS parameter estimates and forecasts, no bias-correction

The function returns parameter estimates and forecasts from OLS estimation for AR models

Keywords
ts
Usage
LS.AR(x, p, h, type, prob)
Arguments
x
a time series data set
p
AR order
h
the number of forecast period
prob
a vector of probabilities
type
"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend
Value

coef
OLS parameter estimates
resid
OLS residuals
forecast
point forecasts from OLS parameter estimates
PI
Prediction Intervals based on OLS parameter estimates based on normal approximation

Aliases
  • LS.AR
Examples
data(IPdata)
LS.AR(IPdata,p=6,h=10,type="const+trend", prob=c(0.05,0.95))
Documentation reproduced from package BootPR, version 0.60, License: GPL-2

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