Btfm2 function

Back-Test of a Transfer Function Model with Two Input Variables

Perform back-test of transfer function model with 2 input variable. For a specified tfm2 model and a given forecast origin, the command iterated between estimation and 1-step ahead prediction starting at the forecast origin until the (T-1)th observation, where T is the sample size.

Btfm2(y,x,x2=NULL,wt=NULL,ct=NULL,orderN=c(1,0,0),orderS=c(0,0,0),sea=12,
order1=c(0,1,0),order2=c(0,-1,0),orig=(length(y)-1))

Arguments

• y: Data vector of dependent variable
• x: Data vector of the first input (or independent) variable
• x2: Data vector of the second input variable if any
• ct: Data vector of a given deterministic variable such as time trend, if any
• wt: Data vector of co-integrated series between input and output variables if any
• orderN: Order (p,d,q) of the regular ARMA part of the disturbance component
• orderS: Order (P,D,Q) of the seasonal ARMA part of the disturbance component
• sea: Seasonalityt, default is 12 for monthly data
• order1: Order (r,s,b) of the transfer function model of the first input variable, where r and s are the degrees of denominator and numerator polynomials and b is the delay
• order2: Order (r2,s2,b2) of the transfer function model of the second input variable, where 2r and s2 are the degrees of denominator and numerator polynomials and b2 is the delay
• orig: Forecast origin with default being T-1, where T is the sample size

Details

Perform out-of-sample 1-step ahead prediction to evaluate a fitted tfm2 model

Returns

• ferror: 1-step ahead forecast errors, starting at the given forecast origin

• mse: out-of-sample mean squared forecast errors

• rmse: root mean squared forecast errors

• mae: out-of-sample mean absolute forecast errors

• nobf: The number of 1-step ahead forecast errors computed

• rAR: Regular AR coefficients

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

Author(s)

Ruey S. Tsay

See Also

tfm2