NNS.nowcast: NNS Nowcast

Description Usage Arguments Value Note Author(s) References Examples

View source: R/Nowcast.R

Description

Wrapper function for NNS nowcasting method using NNS.VAR as detailed in Viole (2020), https://www.ssrn.com/abstract=3586658.

Usage

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NNS.nowcast(
  h = 12,
  additional.regressors = NULL,
  start.date = "2000-01-03",
  Quandl.key = NULL,
  status = TRUE,
  ncores = NULL
)

Arguments

h

integer; 1 (default) Number of periods to forecast. (h = 0) will return just the interpolated and extrapolated values.

additional.regressors

character; NULL (default) add more regressors to the base model. The format must utilize the Quandl exchange format as described in https://docs.data.nasdaq.com/docs/data-organization. For example, the 10-year US Treasury yield using the St. Louis Federal Reserve data is "FRED/DGS10".

start.date

character; "2000-01-03" (default) Starting date for all data series download.

Quandl.key

character; NULL (default) User provided Quandl API key WITH QUOTES.

status

logical; TRUE (default) Prints status update message in console.

ncores

integer; value specifying the number of cores to be used in the parallelized subroutine NNS.ARMA.optim. If NULL (default), the number of cores to be used is equal to the number of cores of the machine - 1.

Value

Returns the following matrices of forecasted variables:

Note

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Viole, F. (2019) "Multi-variate Time-Series Forecasting: Nonparametric Vector Autoregression Using NNS" https://www.ssrn.com/abstract=3489550

Viole, F. (2020) "NOWCASTING with NNS" https://www.ssrn.com/abstract=3586658

Examples

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 ## Not run: 
 NNS.nowcast(h = 12)
 
## End(Not run)

NNS documentation built on Sept. 13, 2021, 5:09 p.m.