predict.boosting: Predict method for boosting objects

In gabrielrvsc/HDeconometrics: Implementation of several econometric models in high-dimension.

Description

Predicted values based on boosting object.

Usage

## S3 method for class 'boosting'
predict(object, newdata = NULL, ...)

Arguments

object	A boosting object estimated using the ic.glmnet function.
newdata	An optional data to look for the explanatory variables used to predict. If omitted, the fitted values are used.
...	Arguments to be passed to other methods.

Examples

## == This example uses the Brazilian inflation data from
#Garcia, Medeiros and Vasconcelos (2017) == ##
data("BRinf")

## == Data preparation == ##
## == The model is yt = a + Xt-1'b + ut == ##
aux = embed(BRinf,2)
y=aux[,1]
x=aux[,-c(1:ncol(BRinf))]

## == break data (in-sample and out-of-sample)
yin=y[1:120]
yout=y[-c(1:120)]
xin=x[1:120,]
xout=x[-c(1:120),]

## == Use factors == ##
factors=prcomp(xin,scale. = TRUE)
xfact=factors$x[,1:10]

model=boosting(xfact,yin)

xfactout=predict(factors,xout)[,1:10]
pred=predict(model,xfactout)

plot(yout,type="l")
lines(pred,col=2)

gabrielrvsc/HDeconometrics documentation built on April 28, 2020, 7:12 a.m.