dse (version 2014.11-1)

forecastCovEstimatorsWRTdata: Calculate Forecast Cov of Estimators WRT Data

Description

forecast covariance of estimated models with respect to a given sample

Usage

forecastCovEstimatorsWRTdata(data, estimation.sample=NULL, 
                       compiled=.DSEflags()$COMPILED, discard.before=10,
                       horizons=1:12, zero=FALSE, trend=FALSE,quiet=FALSE,
                       estimation.methods=NULL)
    is.forecastCovEstimatorsWRTdata(obj)

Arguments

data

an object of class TSdata.

estimation.methods

a list as used by estimateModels.

discard.before

an integer indicating the number of points in the beginning of forecasts to discard for calculating covariances.

zero

if TRUE then forecastCov is also calculated for a forecast of zero.

trend

if TRUE then forecastCov is also calculated for a forecast of a linear trend.

estimation.sample

an integer indicating the number of points in the sample to use for estimation. If it is NULL the whole sample is used.

horizons

horizons for which forecast covariance should be calculated.

quiet

if TRUE then estimation information is not printed.

compiled

a logical indicating if the compiled version of the code should be used. (FALSE would typically only be used for debugging.)

obj

an object.

Value

• A list with the forecast covariance for supplied models on the given sample. This is in the element forecastCov of the result. Other elements contain information in the arguments.

concept

DSE

Details

Calculate the forecasts cov of models estimated from data with estimation methods indicated by estimation.methods (see estimateModels). estimation.sample is an integer indicating the number of points in the sample to use for estimation. If it is NULL the whole sample is used.

See Also

outOfSample.forecastCovEstimatorsWRTdata, estimateModels

Examples

data("eg1.DSE.data.diff", package="dse")
z <- forecastCovEstimatorsWRTdata(eg1.DSE.data.diff, 
    estimation.methods=list(estVARXls=list(max.lag=4)))