reduction.Mittnik {dse2}R Documentation

Balance and Reduce a Model

Description

Balance and reduce the state dimension of a state space model a la Mittnik.

Usage

    reduction.Mittnik(model, data=NULL, criterion=NULL, verbose=T,warn=T)

Arguments

model An object of class TSmodel or TSestModel.
data If the supplied model is of class TSestModel and data is not supplied then it is taken from the model. If the model is of class TSmodel then data must be supplied.

Details

If a state space model is supplied the max. state dimension for the result is taken from the model. If an ARMA model is supplied then singular values will be printed and the program prompts for the max. state dimension. criterion should be the name of one of the values returned by information.tests, that is, one of ("port","like","aic","bic","gvc","rice","fpe","taic", "tbic","tgvc","trice","tfpe"). If criteria is not specified then the program prompts for the state dimension (n) to use for the returned model. The program requires data to calculate selection criteria. (The program balance.Mittnik calculates svd criteria only and can be used for reduction without data.)

Value

A state space model balance a la Mittnik in an object of class TSestModel.

References

Gilbert, P. D. (1993) State space and ARMA models: An overview of the equivalence. Working paper 93-4, Bank of Canada. Available at <www.bank-banque-canada.ca/pgilbert>

Gilbert, P. D. (1995) "Combining VAR Estimation and State Space Model Reduction for Simple Good Predictions" J. of Forecasting: Special Issue on VAR Modelling. 14:229-250.

Mittnik, S. (1989), Multivariate Time Series Analysis With State Space Models, Computers Math Appl. Vol 17, No 8/9, pp1189-1201.

Mittnik, S. (1990), Macroeconomic Forecasting Experience With Balance State Space Models, International Journal Of Forecasting, Vol 6, pp337-348.

Mittnik, S. (1990), Forecasting With Balanced State Space Representations of Multivariate Distributed Lag Models. J. of Forecasting, Vol.9, 207-218.

See Also

est.VARX.ls bft information.tests

Examples

    if(is.R()) data("egJofF.1dec93.data", package="dse1")
    model <- to.SS(est.VARX.ls(egJofF.1dec93.data))
    newmodel <-reduction.Mittnik(model, criterion="taic")