Cointegrated ICU Forecasting

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Documentation for package ‘cif’ version 0.0.9

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crossing computes at which observation a vector y crosses ref for the first time
diffe appends NA at beginning of diff(y)
ec.companion computes companion matrix of the VAR
ec.datadet1 prepares deterministics D^(1)
ec.datadet2 prepares deterministics D^(2)
ec.datalag prepares Dy y_1 Dy_1 ... Dy_nlag-1 for estimation
ec.EG1 estimates the VECM with the 2-stage procedure of Engle & Granger
ec.gfd plots forecasts of difference with confidence bars
ec.gfl plots level forecasts with confidence bars
ec.gfld ec.gfld plots forecasts of levels and difference with confidence bars
ec.ifp Computes Indices of Forecast Performance
ec.main Forecast with Vector Error Correction Model
ec.plotfor plots forecasts
ec.plotroots Companion matrix of the VAR
ec.predict produces predictions for the VECM via its VAR companion form
ec.searchbreaks search for breaks dates for given q (=1,2,3,4)
iculomb Data from Italian Civil Protection
lagn lag j of matrix or vector y
listsize listsize number of terms in the search for 1,2,3,4 number of breaks
mls Multivariate Least-Squares regression
summary.cif summary function for cif Wald test for Multivariate Least-Squares regression