| predict.shrinkTVP {shrinkTVP} | R Documentation |
Calculate predicted historical values for an estimated TVP model
Description
Calculates the predicted past values for an estimated TVP model, i.e. X_t'\beta_t + \epsilon_t.
Note that in contrast to fitted.shrinkTVP this includes the error term.
Usage
## S3 method for class 'shrinkTVP'
predict(object, ...)
Arguments
object |
a |
... |
Currently ignored. |
Value
An object of class shrinkTVP_pred.
Author(s)
Peter Knaus peter.knaus@wu.ac.at
See Also
Other prediction functions:
LPDS(),
eval_pred_dens(),
fitted.shrinkTVP(),
forecast_shrinkTVP(),
residuals.shrinkTVP()
Examples
# Generate synthetic data
sim <- simTVP(N = 300)
# Estimate a model
res <- shrinkTVP(y ~ x1 + x2, sim$data)
# Calculate predicted values
pred <- predict(res)
# Visualize
plot(pred)
lines(sim$data$y, col = "forestgreen")
[Package shrinkTVP version 3.0.1 Index]