recursive: Recursive estimation

In gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods

Recursive estimation

Description

Recursive estimation of coefficients and standard errors

Usage

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

##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)

gets documentation built on Oct. 10, 2022, 1:06 a.m.