recursive: Recursive estimation

Description Usage Arguments Value Author(s) See Also Examples

Description

Recursive estimation of coefficients and standard errors

Usage

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recursive(object, spec="mean", std.errors=TRUE, from=40, tol=1e-07,
  LAPACK=FALSE, plot=TRUE, return=TRUE)

Arguments

object

an arx, gets or isat object

spec

'mean' or 'variance'. If 'mean' (default), the the recursive estimates of the mean-equation are estimated

std.errors

logical. If TRUE (default), then the coefficient standard errors are also computed

from

integer. The starting point of the recursion

tol

numeric. The tolerance for linear dependency among regressors

LAPACK

logical, TRUE or FALSE (default). If true use LAPACK otherwise use LINPACK, see qr function

plot

NULL or logical. If TRUE, then the recursive coefficient estimates are plotted. If NULL (default), then the value set by options determines whether a plot is produced or not.

return

logical. If TRUE (default), then the recursive estimates are returned in a list

Value

If return=TRUE, then a list is returned with the following components:

estimates

a zoo matrix with the recursive estimates

standard.errors

a zoo matrix with the standard errors

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

See Also

ols, qr, solve.qr

Examples

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##generate random variates, estimate model:
y <- rnorm(100)
mX <- matrix(rnorm(4*100), 100, 4)
mymodel <- arx(y, mc=TRUE, mxreg=mX)

##compute recursive estimates and plot them:
recursive(mymodel)


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