NNS (version 10.0)

NNS.nowcast: NNS Nowcast

Description

Wrapper function for NNS nowcasting method using the nonparametric vector autoregression NNS.VAR, and Federal Reserve Nowcasting variables.

Usage

NNS.nowcast(
  h = 1,
  additional.regressors = NULL,
  additional.sources = NULL,
  specific.regressors = NULL,
  start.date = "2000-01-03",
  keep.data = FALSE,
  status = TRUE,
  ncores = NULL
)

Value

Returns the following matrices of forecasted variables:

• "interpolated_and_extrapolated" Returns a data.frame of the linear interpolated and NNS.ARMA extrapolated values to replace NA values in the original variables argument. This is required for working with variables containing different frequencies, e.g. where NA would be reported for intra-quarterly data when indexed with monthly periods.

• "relevant_variables" Returns the relevant variables from the dimension reduction step.

• "univariate" Returns the univariate NNS.ARMA forecasts.

• "multivariate" Returns the multi-variate NNS.reg forecasts.

• "ensemble" Returns the ensemble of both "univariate" and "multivariate" forecasts.

Arguments

h

integer; (h = 1) (default) Number of periods to forecast. (h = 0) will return just the interpolated and extrapolated values up to the current month.

additional.regressors

character; NULL (default) add more regressors to the base model. The format must utilize the getSymbols format for FRED data, else specify the source.

additional.sources

character; NULL (default) specify the source argument per getSymbols for each additional.regressors specified.

specific.regressors

integer; NULL (default) Select individual regressors from the base model per Viole (2020) listed in the References.

start.date

character; "2000-01-03" (default) Starting date for all data series download.

keep.data

logical; FALSE (default) Keeps downloaded variables in a new environment NNSdata.

status

logical; TRUE (default) Prints status update message in console.

ncores

integer; value specifying the number of cores to be used in the parallelized subroutine NNS.ARMA.optim. If NULL (default), the number of cores to be used is equal to the number of cores of the machine - 1.

Author

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Viole, F. (2019) "Multi-variate Time-Series Forecasting: Nonparametric Vector Autoregression Using NNS" https://www.ssrn.com/abstract=3489550

Viole, F. (2020) "NOWCASTING with NNS" https://www.ssrn.com/abstract=3589816

Examples

 if (FALSE) {
 ## Interpolates / Extrapolates all variables to current month
 NNS.nowcast(h = 0)
 
 ## 12 month forecast
 NNS.nowcast(h = 12)
 
 ## Additional regressors and sources specified
 NNS.nowcast(h = 0, additional.regressors = c("SPY", "USO"), 
             additional.sources = c("yahoo", "yahoo"))
 }