Roy.Fuller: Roy-Fuller median-unbiased estimation

In BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting

Roy-Fuller median-unbiased estimation

Description

This function returns parameter estimates and forecasts based on Roy-Fuller medin-unbiased estimator for AR models

Usage

Roy.Fuller(x, p, h, type)

Arguments

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

Value

coef	Roy-Fuller parameter estimates
resid	residuals
forecast	point forecasts from Roy-Fuller parameter estimates

Author(s)

Jae H. Kim

References

Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.

Roy, A., & Fuller, W. A. (2001). Estimation for autoregressive time series with a root near one. Journal of Business & Economic Statistics, 19(4), 482-493.

Examples

data(IPdata)
Roy.Fuller(IPdata,p=6,h=10,type="const+trend")

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