Roy.Fuller {BootPR}R Documentation

Roy-Fuller median-unbiased estimation

Description

This function returns parameter estimates and forecasts based on Roy-Fuller medin-unbiased estimator for AR models

Usage

Roy.Fuller(x, p, h, type)

Arguments

x

a time series data set

p

AR order

h

the number of forecast period

type

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

Value

coef

Roy-Fuller parameter estimates

resid

residuals

forecast

point forecasts from Roy-Fuller parameter estimates

Author(s)

Jae H. Kim

References

Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.

Roy, A., & Fuller, W. A. (2001). Estimation for autoregressive time series with a root near one. Journal of Business & Economic Statistics, 19(4), 482-493.

Examples

data(IPdata)
Roy.Fuller(IPdata,p=6,h=10,type="const+trend")

[Package BootPR version 0.60 Index]