Description Usage Arguments Details Value Author(s) References See Also

Perform back-test of transfer function model with 2 input variable. For a specified tfm2 model and a given forecast origin, the command iterated between estimation and 1-step ahead prediction starting at the forecast origin until the (T-1)th observation, where T is the sample size.

1 2 |

`y` |
Data vector of dependent variable |

`x` |
Data vector of the first input (or independent) variable |

`x2` |
Data vector of the second input variable if any |

`ct` |
Data vector of a given deterministic variable such as time trend, if any |

`wt` |
Data vector of co-integrated series between input and output variables if any |

`orderN` |
Order (p,d,q) of the regular ARMA part of the disturbance component |

`orderS` |
Order (P,D,Q) of the seasonal ARMA part of the disturbance component |

`sea` |
Seasonalityt, default is 12 for monthly data |

`order1` |
Order (r,s,b) of the transfer function model of the first input variable, where r and s are the degrees of denominator and numerator polynomials and b is the delay |

`order2` |
Order (r2,s2,b2) of the transfer function model of the second input variable, where 2r and s2 are the degrees of denominator and numerator polynomials and b2 is the delay |

`orig` |
Forecast origin with default being T-1, where T is the sample size |

Perform out-of-sample 1-step ahead prediction to evaluate a fitted tfm2 model

`ferror ` |
1-step ahead forecast errors, starting at the given forecast origin |

`mse ` |
out-of-sample mean squared forecast errors |

`rmse ` |
root mean squared forecast errors |

`mae ` |
out-of-sample mean absolute forecast errors |

`nobf ` |
The number of 1-step ahead forecast errors computed |

`rAR` |
Regulard AR coefficients |

Ruey S. Tsay

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

tfm2

MTS documentation built on May 29, 2017, 5:15 p.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.