BacktestDMA {eDMA} | R Documentation |
Backtest measures for Dynamic Model Averaging and comparison with Dynamic Model Selection
Description
Backtest measures for Dynamic Model Averaging and comparison with Dynamic Model Selection. This function evaluates the out of sample performance of DMA and compare it with DMS.
Usage
BacktestDMA(object, iBurnPeriod = NULL)
Arguments
object |
an object of the class DMA-class, created using the function DMA. |
iBurnPeriod |
An integer indicating the length of the burn-in period. By default |
Details
The function returns a matrix
with Mean Squared Error (MSE), Mean Absolute Error (MAD) and Predictive Likelihood for DMA and DMS using the predictions during the out-of-sample period.
Value
An object of the class matrix
.
Author(s)
Leopoldo Catania & Nima Nonejad
Examples
library(eDMA)
## load data
data("USData")
## do DMA, keep the first three predictors fixed and the intercept
Fit <- DMA(GDPDEF ~ Lag(GDPDEF, 1) + Lag(GDPDEF, 2) + Lag(GDPDEF, 3) +
Lag(ROUTP, 1) + Lag(UNEMP, 1), data = USData, vDelta = c(0.9, 0.95, 0.99),
vKeep = c(1, 2, 3))
BacktestDMA(Fit, iBurnPeriod = 32)
[Package eDMA version 1.5-3 Index]