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

1
2
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

Regulard 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

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