SimData {eDMA}

data: Simulated data from DLM of West and Harrison (1999).

Description

This is the simulated dataset used in Section 4.1 of Catania and Nonejad (2016).

Usage

data(USData)

Format

A matrix object containing 500 x 6 simulated observations.

References

Catania, Leopoldo, and Nima Nonejad (2018). "Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package." Journal of Statistical Software, 84(11), 1-39. doi: 10.18637/jss.v084.i11.

West, Mike. Bayesian forecasting. John Wiley & Sons, Inc., 1999.

Examples

#the data set has been generated as:

set.seed(7892)

iT <- 500
iK <- 3

dV <- 0.1
mW <- diag(iK + 1) * 0.01
dPhi <- 1

vBeta0 <- rep(0, iK + 1)
mX <- cbind(1, matrix(rnorm(iT * (iK)), iT, iK))

lOut <- SimulateDLM(iT, mX, vBeta0, mW, dV, dPhi)
vY <- lOut$vY

mX <- mX[, -1]

iK_Add <- 2

mX_add <- matrix(rnorm(iT * iK_Add), iT, iK_Add)

SimData <- cbind(y = vY, mX, mX_add)
colnames(SimData) <- c("y", paste("x", 2:(iK + iK_Add + 1), sep = ""))