Backtest measures for Dynamic Model Averaging and comparison with Dynamic Model Selection

Description

Backtest measures for Dynamic Model Averaging and comparison with Dynamic Model Selection. This function evaluate the out of sample performance of DMA and compare it with DMS.

Usage

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    BacktestDMA(object, iBurnPeriod = NULL)

Arguments

object

an object of the class DMA-class, created using the function DMA.

iBurnPeriod

An integer indicating the length of the burn-in period. By default iBurnPeriod = NULL. If iBurnPeriod = NULL then one third of the total sample is used as burn-in in period and a warning is printed.

Details

The function returns a matrix with Mean Square Error (MSE), Mean Absolute Error (MAD) and Predictive Likelihood for DMA and DMS using the predictions during the out of sample period.

Value

, 4 An object of the class matrix.

Author(s)

Leopoldo Catania & Nima Nonejad

Examples

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## Not run: 

library(eDMA)

## load data
data("USData")

## do DMA, keep the first three predictors fixed and the intercept
Fit = DMA(GDPDEF ~ Lag(GDPDEF, 1) + Lag(GDPDEF, 2) + Lag(GDPDEF, 3) +
            Lag(ROUTP, 1) + Lag(UNEMP, 1), data = USData, vDelta = c(0.9,0.95,0.99),
            vKeep = c(1, 2, 3))

BacktestDMA(Fit, iBurnPeriod = 32)


## End(Not run)