cv.BigVAR {BigVAR}R Documentation

Cross Validation for BigVAR

Description

Cross Validation for BigVAR

Usage

cv.BigVAR(object)

Arguments

object

BigVAR object created from ConstructModel

Details

The main function of the BigVAR package. Performs cross validation to select penalty parameters over a training sample (as the minimizer of in-sample MSFE), then evaluates them over a test set. Compares against sample mean, random walk, AIC, and BIC benchmarks. Creates an object of class BigVAR.results

Value

An object of class BigVAR.results.

See Also

constructModel, BigVAR.results,BigVAR.est

Examples

data(Y)
# Fit a Basic VARX-L with rolling cross validation 
Model1=constructModel(Y,p=4,struct="Basic",gran=c(50,10))
results=cv.BigVAR(Model1)

[Package BigVAR version 1.0.6 Index]