jubilee.macro_cost: Calculate the cost function of the macro model

In jubilee: Forecasting Long-Term Growth of the U.S. Stock Market and Business Cycles

Description

This utility calculates the cost function of the macro model according to the squared error sum with penaty parameter. This utility can be used to experiment more sophisticated optimization schemes.

Usage

jubilee.macro_cost(dtb, rs, penalty = c(1, 1, 1), new.tb3ms = NA,
  new.gs10 = NA)

Arguments

dtb	data table, usually this is the reg.dtb of the jubilee object
rs	the list returned from jubilee.macro_fit
penalty	numeric, the penalty vector for the 6 models. Default is c(1,1,1).
new.tb3ms	numeric, vector of new rate.tb3ms with length equal to NROW of dtb. Default is NA.
new.gs10	numeric, vector of new rate.gs10 with length equal to NROW of dtb. Default is NA.

Value

The data table containing the "macro.cost" column

Author(s)

Stephen H. Lihn

jubilee documentation built on Jan. 24, 2020, 5:10 p.m.