gets (version 0.5)

recursive: Recursive estimation

Description

Recursive estimation of coefficients and standard errors

Usage

recursive(object, spec="mean", std.errors=TRUE, from=40, tol=1e-07,
  LAPACK=FALSE, plot=TRUE, return=TRUE)

Arguments

object

an arx, gets or isat object

spec

'mean' or 'variance'. If 'mean' (default), the the recursive estimates of the mean-equation are estimated

std.errors

logical. If TRUE (default), then the coefficient standard errors are also computed

from

integer. The starting point of the recursion

tol

numeric. The tolerance for linear dependency among regressors

LAPACK

logical, TRUE or FALSE (default). If true use LAPACK otherwise use LINPACK, see qr function

plot

logical. If TRUE (default), then the recursive coefficient estimates are plotted

return

logical. If TRUE (default), then the recursive estimates are returned in a list

Value

• If return=TRUE, then a list is returned with the following components:
• estimates
  a zoo matrix with the recursive estimates
• standard.errors
  a zoo matrix with the standard errors

See Also

ols, qr, solve.qr

Examples

##generate random variates, estimate model:
y <- rnorm(100)
mX <- matrix(rnorm(4*100), 100, 4)
mymodel <- arx(y, mc=TRUE, mxreg=mX)

##compute recursive estimates and plot them:
recursive(mymodel)