GAS (version 0.1.1)

UniGASRoll: Rolling forecast with univariate GAS models

Description

One step ahead rolling forecasts with model re-estimation. The function also reports several quantity for backtesting for point and density forecasts.

Usage

UniGASRoll(data, GASSpec, ForecastLength = 500, Nstart = NULL, RefitEvery = 23, RefitWindow = c("moving", "recursive"), cluster=NULL)

Arguments

data

numeric vector containing the time series of observations.

GASSpec

An object of the class uGASSpec created using the function UniGASSpec

ForecastLength

numeric Length of the out of sample

Nstart

numeric Period when perform the first forecast. Ignored if ForecastLength is supplied.

RefitEvery

numeric Number of periods before model coefficients re-estimation.

RefitWindow

character Type of window. If RefitWindow = "recursive" all the observations are used when the model is re-estimated. If RefitWindow = "moving" old observations are eliminated.

cluster

A cluster object created calling using the paralell package. If supplied parallel processing is used to speed up the computations.

Value

An object of the class uGASRoll

Examples

# Specify an univariate GAS model with Student-t
# conditional distribution and time-varying location, scale and shape parameter

# Inflation Forecast

data("cpichg")
help(cpichg)

GASSpec   = UniGASSpec(Dist = "std", ScalingType = "Identity",
                       GASPar = list(location = TRUE, scale = TRUE, shape = FALSE))

# Perform 1-step ahead rolling forecast with refit
library(parallel)

Roll = UniGASRoll(cpichg, GASSpec, ForecastLength = 50,
                  RefitEvery = 10, RefitWindow = c("moving"))


Roll