predict.shrinkTVP: Calculate predicted historical values for an estimated TVP...

In shrinkTVP: Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage

Calculate predicted historical values for an estimated TVP model

Description

Calculates the predicted past values for an estimated TVP model, i.e. X_t'\beta_t + \epsilon_t. Note that in contrast to fitted.shrinkTVP this includes the error term.

Usage

## S3 method for class 'shrinkTVP'
predict(object, ...)

Arguments

object	a shrinkTVP object
...	Currently ignored.

Value

An object of class shrinkTVP_pred.

Author(s)

Peter Knaus [e-mail]

See Also

Other prediction functions: LPDS(), eval_pred_dens(), fitted.shrinkTVP(), forecast_shrinkTVP(), residuals.shrinkTVP()

Examples

# Generate synthetic data
sim <- simTVP(N = 300)

# Estimate a model
res <- shrinkTVP(y ~ x1 + x2, sim$data)

# Calculate predicted values
pred <- predict(res)

# Visualize
plot(pred)
lines(sim$data$y, col = "forestgreen")

shrinkTVP documentation built on Nov. 23, 2023, 1:12 a.m.