Dynamic Model Averaging with Grid Search

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Description

Perform Dynamic Model Averaging with grid search as in Dangl and Halling (2012) using parallel computing.

Details

Package: eDMA
Type: Package
Version: 1.3-2
Date: 2016-11-24
License: GPL (>= 2)

Author(s)

Leopoldo Catania & Nima Nonejad

Maintainer: Leopoldo Catania <leopoldo.catania@uniroma2.it>

References

Raftery, Adrian E., Miroslav Karny, and Pavel Ettler. "Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill." Technometrics 52.1 (2010): 52-66.

Dangl, Thomas, and Michael Halling. "Predictive regressions with time-varying coefficients." Journal of Financial Economics 106.1 (2012): 157-181.

Raftery, Adrian E., David Madigan, and Jennifer A. Hoeting. "Bayesian model averaging for linear regression models." Journal of the American Statistical Association 92.437 (1997): 179-191.

Harrison, Jeff, and Mike West. Bayesian Forecasting & Dynamic Models. Springer, 1999.

See Also

DMA

Examples

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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, 4))