VAR.etp (version 0.7)

PR.Fore: Improved Augmented Regression Method for Predictive Regression

Description

Function for forecasting based on Imporved ARM

Usage

PR.Fore(x, y, M, h = 10)

Arguments

x

predictor or matrix of predictors in column

y

variable to be predicted, usually stock return

M

Estimation results of the function PR.IARM

h

forecasting period

Value

Fore

Out-of sample and dynamic forecasts for y and x

Details

Function for forecasting based on Imporved ARM

References

Kim J.H., 2014, Predictive Regression: Improved Augmented Regression Method, Journal of Empirical Finance 25, 13-15.

Examples

data(data1)
# Replicating Table 5 (excess return)
y=data1$ret.nyse.vw*100 -data1$tbill*100
x=cbind(log(data1$dy.nyse), data1$tbill*100); k=ncol(x) 
p=4
Rmat1=Rmatrix(p,k,type=1,index=1); Rmat=Rmat1$Rmat; rvec=Rmat1$rvec
M=PR.IARM(x,y,p,Rmat,rvec)
PRF=PR.Fore(x,y,M)