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 1.0 Index]