forecast.cov.estimators.wrt.data {dse2}R Documentation

Calculate Forecast Cov of Estimators WRT Data

Description

forecast covariance of estimated models wrt given sample

Usage

    forecast.cov.estimators.wrt.data(data, estimation.sample=NULL, 
                       compiled=.DSECOMPILED, discard.before=10,
                       horizons=1:12, zero=F, trend=F,quiet=F,
                       estimation.methods=NULL)
    is.forecast.cov.estimators.wrt.data(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 forecast.cov is also calculated for a forecast of zero.
trend If T then forecast.cov 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.
horizons Horizons for which forecast covariance should be calculated.

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 forecast.cov of the result. Other elements contain information in the arguments.

See Also

out.of.sample.forecast.cov.estimators.wrt.data, estimate.models

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
z <- forecast.cov.estimators.wrt.data(eg1.DSE.data.diff, 
    estimation.methods=list(est.VARX.ls=list(max.lag=4)))