UniGASRoll {GAS} | R Documentation |
Rolling forecast with univariate GAS models
Description
One-step ahead rolling forecasts with model re-estimation. The function also reports several quantity for backtesting for point and density forecasts.
Usage
UniGASRoll(data, GASSpec, ForecastLength = 500, Nstart = NULL,
RefitEvery = 23, RefitWindow = c("moving", "recursive"),
cluster = NULL, Compute.SE = FALSE, ...)
Arguments
data |
|
GASSpec |
An object of the class uGASSpec created using the function UniGASSpec. |
ForecastLength |
|
Nstart |
|
RefitEvery |
|
RefitWindow |
|
cluster |
A |
Compute.SE |
|
... |
Additional arguments for UniGASFit |
Value
An object of the class uGASRoll.
Author(s)
Leopoldo Catania
Examples
# Specify an univariate GAS model with Student-t
# conditional distribution and time-varying location, scale and shape parameter
# Inflation Forecast
data("cpichg")
help(cpichg)
GASSpec = UniGASSpec(Dist = "std", ScalingType = "Identity",
GASPar = list(location = TRUE, scale = TRUE, shape = FALSE))
# Perform 1-step ahead rolling forecast with refit
library("parallel")
Roll = UniGASRoll(cpichg, GASSpec, ForecastLength = 50,
RefitEvery = 12, RefitWindow = c("moving"))
Roll