dse (version 2014.11-1)

estBlackBox: Estimate a TSmodel

Description

Estimate a TSmodel.

Usage

estBlackBox(data,...)

Arguments

data

Data in an object of class TSdata.

...

Optional arguments depent on the function which is eventually called.

Value

• A state space model in an object of class TSestModel.

concept

DSE

Details

The function makes a call to estBlackBox4, also called bft, which seems the most reliable of functions estBlackBox1, estBlackBox2, estBlackBox4. My research in this area is no longer active, but the actual routine called could change if better methods appear.

To reduce load on the CRAN check servers, the example below uses max.lag=3 rather than the default 12 used in Gilbert (1995).

References

Gilbert, P. D. (1995) Combining VAR Estimation and State Space Model Reduction for Simple Good Predictions. J. of Forecasting: Special Issue on VAR Modelling, 14, 229-250.

Examples

data("egJofF.1dec93.data", package="dse")
goodmodel <- estBlackBox(egJofF.1dec93.data, max.lag=3)