smoots: smoots: A package for data-driven nonparametric estimation of...

Description Functions (version 1.0.0) Added Functions (version 1.1.0) Datasets License Author(s) References

Description

The smoots package provides different applicable functions for the estimation of the trend or its derivatives in equidistant time series. The main functions include an automated bandwidth selection method for time series with short-memory errors. With package version 1.1.0 several functions for forecasting as well as linearity tests were added.

Functions (version 1.0.0)

The smoots functions are either meant for calculating nonparametric estimates of the trend of a time series or its derivatives.

msmooth is the central function of the package. It allows the user to conduct a local polynomial regression of the trend based on an optimal bandwidth that is obtained by an iterative plug-in algorithm. There are also different algorithms implemented concerning the inflation rate and other factors that can be chosen from (see also: msmooth).

dsmooth is a function that calculates the derivatives of the trend after obtaining the optimal bandwidth by an iterative plug-in algorithm. The estimates are obtained for rescaled time points on the interval [0, 1] (see also: dsmooth).

tsmooth is similar to msmooth as it also calculates the trend of the series. Instead of using the name of a predefined algorithm that settles the inflation rate (and other factors), these factors can be manually and individually adjusted as arguments in the function (see also: tsmooth).

gsmooth is a standard smoothing function that applies the local polynomial regression method. A bandwidth can be chosen freely. The estimates are obtained for rescaled time points on the interval [0, 1] (see also: gsmooth).

knsmooth is a standard smoothing function that applies the kernel regression method. A bandwidth can be chosen freely (see also: knsmooth).

Added Functions (version 1.1.0)

With the publication of the package version 1.1.0, new functions were added. These include functions for forecasting and functions for testing linearity of the deterministic trend.

rescale helps rescaling the estimates of the derivatives of the nonparametric trend function, because the estimates are obtained for rescaled time points on the interval [0, 1] and not for the actual time points (see also: rescale).

critMatrix is a quick tool for the calculation of information criteria for ARMA(p,q) models with different order combinations p and q. The function returns a matrix with the obtained values of the selected criterion for the different combinations of p and q (see also: critMatrix).

optOrd is useful in combination with critMatrix. It reads a matrix equal in structure to the ones returned by critMatrix and returns the optimal orders p and q. Furthermore, additional restrictions for the selection can be imposed (see also: optOrd).

normCast provides means to obtain point forecasts as well as forecasting intervals for a given series under the assumption that it follows an ARMA(p,q) model and that its innovations are normally distributed (see also: normCast).

bootCast can also be used to calculate point forecasts and forecasting intervals, if the series of interest follows an ARMA(p,q) model. However, the main difference is that this function should be applied, if the distribution of the innovations is unknown or explicitly non-Gaussian, because the underlying bootstrap process does not need a distribution assumption. In spite of this advantage, it also needs significantly more computation time. Therefore, with version 1.1.1, the bootstrap can now be conducted in parallel for an improved performance (see also: bootCast).

trendCast uses a smoots object that is the output of a trend estimation and calculates point forecasts of the trend. Forecasting intervals are omitted for reasons that are explained within the function's documentation (see also: trendCast).

modelCast calculates the point forecasts and forecasting intervals of a trend-stationary series. Based on a smoots object that is the output of a trend estimation, trendCast is applied to the estimated trend, whereas either normCast or bootCast is applied to the residuals (see also: modelCast).

rollCast is a backtesting function for Semi-ARMA models. A given series is divided into in-sample and out-of-sample observations, where the in-sample is used to fit a Semi-ARMA model. One-step rolling forecasts and the corresponding forecasting intervals are then obtained for the out-of-sample observations. The quality of the model is then assessed via a comparison of the true out-of-sample observations with the point forecasts and forecasting intervals. Different quality criteria are calculated and returned (see also: modelCast).

confBounds calculates the confidence bounds of the estimated trend or of the estimated derivative of the trend at a predefined confidence level. A graphic of the confidence bounds alongside a previously chosen constant or parametric illustration of the estimated series is created. With this plot it can be tested graphically if the deterministic trend is constant or if it follows a parametric polynomial model. Furthermore, it can also be tested, if the derivatives of the trend are constant (see also: confBounds).

Datasets

The package includes four datasets: gdpUS (see also: gdpUS) that has data concerning the quarterly US GDP between Q1 1947-01 and Q2 2019, tempNH (see also: tempNH) with mean monthly Northern Hemisphere temperature changes from 1880 to 2018, dax (see also: dax) with daily financial time series data of the German stock index (DAX) from 1990 to July 2019 and vix (see also: vix) with daily financial time series data of the CBOE Volatility Index (VIX) from 1990 to July 2019.

License

The package is distributed under the General Public License v3 ([GPL-3](https://tldrlegal.com/license/gnu-general-public-license-v3-(gpl-3))).

Author(s)

References

Feng, Y., Gries, T. and Fritz, M. (2020). Data-driven local polynomial for the trend and its derivatives in economic time series. Journal of Nonparametric Statistics, 32:2, 510-533.

Feng, Y., Gries, T., Letmathe, S. and Schulz, D. (2019). The smoots package in R for semiparametric modeling of trend stationary time series. Discussion Paper. Paderborn University. Unpublished.


smoots documentation built on Oct. 10, 2021, 1:09 a.m.