LS.AR: OLS parameter estimates and forecasts, no bias-correction

In BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting

OLS parameter estimates and forecasts, no bias-correction

Description

The function returns parameter estimates and forecasts from OLS estimation for AR models

Usage

LS.AR(x, p, h, type, prob)

Arguments

x	a time series data set
p	AR order
h	the number of forecast period
prob	a vector of probabilities
type	"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

coef	OLS parameter estimates
resid	OLS residuals
forecast	point forecasts from OLS parameter estimates
PI	Prediction Intervals based on OLS parameter estimates based on normal approximation

Author(s)

Jae H. Kim

Examples

data(IPdata)
LS.AR(IPdata,p=6,h=10,type="const+trend", prob=c(0.05,0.95))

BootPR documentation built on Aug. 31, 2023, 9:08 a.m.