UniGASRoll function

Rolling forecast with univariate GAS models

One-step ahead rolling forecasts with model re-estimation. The function also reports several quantity for backtesting for point and density forecasts.

UniGASRoll(data, GASSpec, ForecastLength = 500, Nstart = NULL,
           RefitEvery = 23, RefitWindow = c("moving", "recursive"),
           cluster = NULL, Compute.SE = FALSE, ...)

Arguments

• data: numeric vector containing the time series of observations.

• GASSpec: An object of the class uGASSpec created using the function UniGASSpec .

• ForecastLength: numeric Length of the out-of-sample.

• Nstart: numeric Period when perform the first forecast. Ignored if ForecastLength is supplied.

• RefitEvery: numeric Number of periods before model coefficients re-estimation.

• RefitWindow: character Type of window. If RefitWindow = "recursive"

  all the observations are used when the model is re-estimated. If RefitWindow = "moving" old observations are eliminated.

• cluster: A cluster object created calling using the paralell package. If supplied parallel processing is used to speed up the computations.

• Compute.SE: logical. Should asymptotic Standard Errors be computed? By default Compute.SE = FALSE

• ``: Additional arguments for UniGASFit

Returns

An object of the class uGASRoll .

Author(s)

Leopoldo Catania

Examples

# Specify an univariate GAS model with Student-t
# conditional distribution and time-varying location, scale and shape parameter

# Inflation Forecast

data("cpichg")
help(cpichg)

GASSpec = UniGASSpec(Dist = "std", ScalingType = "Identity",
                     GASPar = list(location = TRUE, scale = TRUE, shape = FALSE))

# Perform 1-step ahead rolling forecast with refit
library("parallel")

Roll = UniGASRoll(cpichg, GASSpec, ForecastLength = 50,
                  RefitEvery = 12, RefitWindow = c("moving"))

Roll