estBlackBox3 {dse} R Documentation

## Estimate a TSmodel

### Description

Estimate a TSmodel.

### Usage

    estBlackBox3(data, estimation='estVARXls',
lag.weight=1.0,
reduction='MittnikReduction',
criterion='aic',
trend=FALSE,
standardize=FALSE, verbose=TRUE, max.lag=12, sample.start=10)


### Arguments

 data A TSdata object. estimation A character string indicating the estimation method to use. lag.weight Weighting to apply to lagged observations. reduction Character string indicating reduction procedure to use. criterion Criterion to be used for model selection. see informationTestsCalculations. taic might be a better default selection criteria but it is not available for ARMA models. trend If TRUE include a trend in the model. subtract.means If TRUE the mean is subtracted from the data before estimation. re.add.means If subtract.means is TRUE then if re.add.means is T the estimated model is converted back to a model for data without the mean subtracted. standardize If TRUE the data is transformed so that all variables have the same variance. verbose If TRUE then additional information from the estimation and reduction procedures is printed. max.lag The number of lags to include in the VAR estimation. sample.start The starting point to use for calculating information criteria.

### Details

VAR models are estimated for each lag up to the specified max.lag. From these the best is selected according to the specified criteria. The reduction procedure is then applied to this best model and the best reduced model selected. The default estimation procedure is least squares estimation of a VAR model.

### Value

A TSestModel.

estBlackBox1, estBlackBox2 estBlackBox4 informationTestsCalculations

### Examples

data("eg1.DSE.data.diff", package="dse")
z <-  estBlackBox3(eg1.DSE.data.diff)


[Package dse version 2020.2-1 Index]