maeforecast.ar: Economic Forecasting with High-Dimensional Data (AR)

In google-trends-v1/gtm: Functions for Economic Nowcasting with Google Trends Data

Usage

maeforecast.ar(data = NULL, w_size = NULL, window = "recursive",
            y.index=1, h=0)

Arguments

data	a data frame or a matrix; the first column should contain the time series variable for which the forecasts are to be made. Other columns should contain the covariates.
w_size	numeric, indicating the index where the forecasting should begin. If the first point forecast should be made at the 73th observation, for example, w_size should be set to be 72.
window	character, indicating the forecasting scheme to be applied. Options include "recursive", "rolling", and "fixed".
y.index	numeric, indicating the column position of the time series for which the forecasts are made (Y). Defualt is 1.
h	forecasting horizon. Default is 0.

Value

Forecasts	data matrix, containing the point forecasts, realized values, forecast errors, signs of the forecasts and realized values, and success in predicting the signs.
MSE	numeric, mean squred error of the point forecasts.
SRatio	numeric, success ratio of the point forecasts. Success is claimed when the point forecasts and realized values have the same sign.

See Also

maeforecast

google-trends-v1/gtm documentation built on June 5, 2019, 5:13 p.m.