forecastCov.estimatorsWRTdata {dse2}R Documentation

Calculate Forecast Cov of Estimators WRT Data

Description

forecast covariance of estimated models with respect to a given sample

Usage

    forecastCov.estimatorsWRTdata(data, estimation.sample=NULL, 
                       compiled=.DSECOMPILED, discard.before=10,
                       horizons=1:12, zero=F, trend=F,quiet=F,
                       estimation.methods=NULL)
    is.forecastCov.estimatorsWRTdata(obj)

Arguments

data an object of class TSdata.
estimation.methods a list as used by estimate.models.
discard.before an integer indicating the number of points in the beginning of forecasts to discard for calculating covariances.
zero if T then forecastCov is also calculated for a forecast of zero.
trend if T 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 T then estimation information is not printed.
compiled a logical indicating if the compiled version of the code should be used. (F would typically only be used for debugging.)
obj an object.

Details

Calculate the forecasts cov of models estimated from data with estimation methods indicated by estimation.methods (see estimate.models). 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.

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.

See Also

out.of.sample.forecastCov.estimatorsWRTdata, estimate.models

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
z <- forecastCov.estimatorsWRTdata(eg1.DSE.data.diff, 
    estimation.methods=list(est.VARX.ls=list(max.lag=4)))
[Package Contents]