Btfm2: Back-Test of a Transfer Function Model with Two Input...

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Back-Test of a Transfer Function Model with Two Input Variables

Description

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.

Usage

Btfm2(y,x,x2=NULL,wt=NULL,ct=NULL,orderN=c(1,0,0),orderS=c(0,0,0),sea=12,
order1=c(0,1,0),order2=c(0,-1,0),orig=(length(y)-1))

Arguments

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

Details

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

Value

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	Regular AR coefficients

Author(s)

Ruey S. Tsay

References

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.

See Also

tfm2

MTS documentation built on April 11, 2022, 5:07 p.m.