ivx_fit

ivx_wfit

Basic function called by <code>ivx</code> to fit predictive models.
These should only be used directly by experienced users.

Drawing statistical inference on the coefficients
of a short- or long-horizon predictive regression with persistent
regressors by using the IVX method of Magdalinos and Phillips (2009)
<doi:10.1017/S0266466608090154> and Kostakis, Magdalinos and
Stamatogiannis (2015) <doi:10.1093/rfs/hhu139>.

Kostas Vasilopoulos

Robust Econometric Inference

Efthymios Pavlidis

ivx_fit function

<dl><dt>y</dt>
<dd>vector of observations of length <code>n</code>, or a matrix with
 <code>n</code> rows.</dd>
<dt>x</dt>
<dd>design matrix of dimension <code>n * p</code>.</dd>
<dt>horizon</dt>
<dd>is the horizon (default horizon = 1 corresponds to a
short-horizon regression).</dd>
<dt>offset</dt>
<dd>(numeric of length <code>n</code>). This can be used to
 specify an a priori known component to be included in the
 linear predictor during fitting.</dd>
<dt>...</dt>
<dd>currently disregarded.</dd>
<dt>w</dt>
<dd>vector of weights (length <code>n</code>) to be used in the fitting
 process for the <code>wfit</code> functions. Weighted least squares is
 used with weights <code>w</code>, i.e., <code>sum(w * e^2)</code> is minimized.</dd></dl>

Arguments

Fitter Functions for IVX Models — ivx_fit

<dl>

<dt>y</dt>
<dd>vector of observations of length <code>n</code>, or a matrix with
 <code>n</code> rows.</dd>


<dt>x</dt>
<dd>design matrix of dimension <code>n * p</code>.</dd>


<dt>horizon</dt>
<dd>is the horizon (default horizon = 1 corresponds to a
short-horizon regression).</dd>


<dt>offset</dt>
<dd>(numeric of length <code>n</code>). This can be used to
 specify an a priori known component to be included in the
 linear predictor during fitting.</dd>


<dt>...</dt>
<dd>currently disregarded.</dd>


<dt>w</dt>
<dd>vector of weights (length <code>n</code>) to be used in the fitting
 process for the <code>wfit</code> functions. Weighted least squares is
 used with weights <code>w</code>, i.e., <code>sum(w * e^2)</code> is minimized.</dd>

</dl>

ivx_fit: Fitter Functions for IVX Models

Description

Usage

Arguments

Examples