cond_moment_plot: Conditional mean or variance plot for a GMVAR, StMVAR, or...

Description Usage Arguments Details References See Also Examples

View source: R/morePlots.R

Description

cond_moment_plot plots the one-step in-sample conditional means/variances of the model along with the individual time series contained in the model (e.g. the time series the model was fitted to). Also plots the regimewise conditional means/variances multiplied with mixing weights.

Usage

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cond_moment_plot(
  gsmvar,
  which_moment = c("mean", "variance"),
  grid = FALSE,
  ...
)

Arguments

gsmvar

an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.

which_moment

should conditional means or variances be plotted?

grid

add grid to the plots?

...

additional paramters passed to grid(...) plotting the grid if grid == TRUE.

Details

The conditional mean plot works best if the data contains positive values only. acf from the package stats and the plot method for class 'acf' objects is employed.

References

See Also

profile_logliks, fitGSMVAR, GSMVAR, quantile_residual_tests, LR_test, Wald_test, diagnostic_plot

Examples

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# GMVAR(2, 2), d=2 model;
params22 <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
 0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
 0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58)
mod22 <- GSMVAR(gdpdef, p=2, M=2, params=params22)
cond_moment_plot(mod22, which_moment="mean")
cond_moment_plot(mod22, which_moment="variance")
cond_moment_plot(mod22, which_moment="mean", grid=TRUE, lty=3)

# G-StMVAR(2, 1, 1), d=2 model:
params22gs <- c(0.697, 0.154, 0.049, 0.374, 0.476, 0.318, -0.645, -0.302,
 -0.222, 0.193, 0.042, -0.013, 0.048, 0.554, 0.033, 0.184, 0.005, -0.186,
  0.683, 0.256, 0.031, 0.026, 0.204, 0.583, -0.002, 0.048, 0.182, 4.334)
mod22gs <- GSMVAR(gdpdef, p=2, M=c(1, 1), params=params22gs, model="G-StMVAR")
cond_moment_plot(mod22gs, which_moment="mean")
cond_moment_plot(mod22gs, which_moment="variance")

#StMVAR(4, 1), d=2 model:
params41t <- c(0.512, -0.002, 0.243, 0.024, -0.088, 0.452, 0.242, 0.011,
  0.093, 0.162, -0.097, 0.033, -0.339, 0.19, 0.091, 0.006, 0.168, 0.101,
  0.516, -0.005, 0.054, 4.417)
mod41t <- GSMVAR(gdpdef, p=4, M=1, params=params41t, model="StMVAR")
cond_moment_plot(mod41t, which_moment="mean")
cond_moment_plot(mod41t, which_moment="variance")

saviviro/gmvarkit documentation built on Oct. 25, 2021, 2:14 a.m.