LS.AR {BootPR}R Documentation

OLS parameter estimates and forecasts, no bias-correction

Description

The function returns parameter estimates and forecasts from OLS estimation for AR models

Usage

LS.AR(x, p, h, type, prob)

Arguments

x

a time series data set

p

AR order

h

the number of forecast period

prob

a vector of probabilities

type

"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

coef

OLS parameter estimates

resid

OLS residuals

forecast

point forecasts from OLS parameter estimates

PI

Prediction Intervals based on OLS parameter estimates based on normal approximation

Author(s)

Jae H. Kim

Examples

data(IPdata)
LS.AR(IPdata,p=6,h=10,type="const+trend", prob=c(0.05,0.95))

[Package BootPR version 0.60 Index]