eDMA: Dynamic Model Averaging with Grid Search

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Perform Dynamic Model Averaging with grid search as in Dangl and Halling (2012) <doi:10.1016/j.jfineco.2012.04.003> using parallel computing.

Author
Leopoldo Catania & Nima Nonejad
Date of publication
2016-11-24 23:44:46
Maintainer
Leopoldo Catania <leopoldo.catania@uniroma2.it>
License
GPL (>= 2)
Version
1.3-2

View on CRAN

Man pages

BacktestDMA
Backtest measures for Dynamic Model Averaging and comparison...
DMA
Perform Dynamic Model Averaging
DMA-class
class: Class for the DMA class
eDMA-package
Dynamic Model Averaging with Grid Search
Lag
Lag a vector or a matrix of observations
PowerSet
Build the power set of the values {0,1,2,...,'iK'}.
SimData
data: Simulated data from DLM of West and Harrison (1999).
SimulateDLM
Simulate from DLM of West and Harrison (1999).
USData
data: Quarterly US inflation and associated predictors

Files in this package

eDMA
eDMA/inst
eDMA/inst/doc
eDMA/inst/doc/eDMA_1.1.pdf
eDMA/inst/doc/eDMA_1.1.Rnw
eDMA/src
eDMA/src/Makevars
eDMA/src/Utils.h
eDMA/src/Distributions.h
eDMA/src/Combinations.h
eDMA/src/Estimate.h
eDMA/src/Estimate_par.cpp
eDMA/src/Combinations.cpp
eDMA/src/Utils.cpp
eDMA/src/Simulate.cpp
eDMA/src/Makevars.win
eDMA/src/Distributions.cpp
eDMA/src/RcppExports.cpp
eDMA/src/Estimate.cpp
eDMA/NAMESPACE
eDMA/data
eDMA/data/USData.rda
eDMA/data/SimData.rda
eDMA/R
eDMA/R/ClassMethods.R
eDMA/R/Figures.R
eDMA/R/Estimate.R
eDMA/R/RcppExports.R
eDMA/R/BackTest.R
eDMA/R/Lag.R
eDMA/vignettes
eDMA/vignettes/Simulation_InclusionProbabilities.pdf
eDMA/vignettes/InclusionProbabilities.pdf
eDMA/vignettes/FilteredBeta.pdf
eDMA/vignettes/eDMA_1.1.Rnw
eDMA/vignettes/PriorAndESize.pdf
eDMA/vignettes/CombinedPlots.pdf
eDMA/vignettes/ComputationalTime.pdf
eDMA/README.md
eDMA/MD5
eDMA/build
eDMA/build/vignette.rds
eDMA/build/partial.rdb
eDMA/DESCRIPTION
eDMA/man
eDMA/man/SimulateDLM.Rd
eDMA/man/SimData.Rd
eDMA/man/eDMA-package.Rd
eDMA/man/PowerSet.Rd
eDMA/man/Lag.Rd
eDMA/man/DMA.Rd
eDMA/man/USData.Rd
eDMA/man/DMA-class.Rd
eDMA/man/BacktestDMA.Rd