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cif (version 0.1.1)

Cointegrated ICU Forecasting

Description

Set of forecasting tools to predict ICU beds using a Vector Error Correction model with a single cointegrating vector. Method described in Berta, P. Lovaglio, P.G. Paruolo, P. Verzillo, S., 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand" Health, Econometrics and Data Group (HEDG) Working Papers 20/16, HEDG, Department of Economics, University of York, .

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Version

Install

install.packages('cif')

Monthly Downloads

202

Version

0.1.1

License

GPL-3

Maintainer

Paolo Paruolo

Last Published

March 1st, 2022

Functions in cif (0.1.1)

ec.gfld plots forecasts of levels and difference with confidence bars

summary function for cif

Multivariate Least-Squares regression

Computes Indices of Forecast Performance

Data from Italian Civil Protection

ec.searchbreaks

search for breaks dates for given q (=1,2,3,4)

Forecast with Vector Error Correction Model

plots forecasts

Companion matrix of the VAR

prepares Dy y_1 Dy_1 ... Dy_nlag-1 for estimation

produces predictions for the VECM via its VAR companion form

listsize number of terms in the search for 1,2,3,4 number of breaks

lag j of matrix or vector y

plots forecasts of difference with confidence bars

computes companion matrix of the VAR

prepares deterministics D^(1)

computes at which observation a vector y crosses ref for the first time

Wald test for Multivariate Least-Squares regression

plots level forecasts with confidence bars

appends NA at beginning of diff(y)

prepares deterministics D^(2)

estimates the VECM with the 2-stage procedure of Engle & Granger