est.black.box1 {dse2}R Documentation

Estimate a TSmodel

Description

Estimate a TSmodel.

Usage

    est.black.box1(data, estimation="est.VARX.ls", 
        reduction="reduction.Mittnik", 
        criterion="taic", trend=F, subtract.means=F, verbose=T, max.lag=6)

Arguments

data Data in an object of class TSdata.
estimation Initial estimation method to be used.
reduction Reduction method to be used.
criterion Criterion to be used for model selection. This can be: port, like, aic, bic, gvc, rice,f pe, taic, tbic, tgvc, trice or tfpe for the Portmanteau test, likelihood, Akaike Information Criterion, Bayes Information Criterion, Generalized Cross Validation, Rice Criterion, or Final Prediction Error. The preceeding 't' indicates that the theoretical parameter space dimension should be used.
verbose Indicates if information should be printed during estimation.

Value

A state space model in an object of class TSestModel.

Examples

if(is.R()) data("egJofF.1dec93.data", package="dse1")
goodmodel <- est.black.box1(egJofF.1dec93.data)