Dynamic Model Averaging and Dynamic Model Selection for Continuous Outcomes
Computes a Few Alternative Forecasts.
Computes a Few Alternative Forecasts Based on Model Averaging.
Computes a Rolling Regression Averaged over Different Window Sizes.
Computes a Time-Varying Parameters Rolling Regression Averaged over Di...
Computes Engle's ARCH Test.
Extracts Averaged Coefficients from dma Model.
Computes Basic Descriptive Statistics.
Computes Diebold-Mariano Test.
Computes Dynamic Model Averaging.
Extracts Fitted Values from dma Model.
Normalizes a Numeric Matrix by Rows.
Computes fDMA Function for Multiple Values of alpha and lambda.
Computes roll.reg Function for Multiple Values of window.
Computes tvp Function for Multiple Values of lambda.
Computes Hit Ratio (HR) for Forecast.
Computes Diebold-Mariano Test when Presence of ARCH Effects is Suspect...
Computes Harvey-Leybourne-Newbold Test.
Normalizes a Numeric Matrix by Columns.
Creates a matrix of one-variable models.
Plots Selected Outcomes from altf Object.
Plots Selected Outcomes from altf2 Object.
Plots Selected Outcomes from altf3 Object.
Plots Selected Outcomes from altf4 Object.
Plots Selected Outcomes from fDMA Function.
Plots Selected Outcomes from grid.DMA Function.
Plots Selected Outcomes from grid.roll.reg Function.
Plots Selected Outcomes from grid.tvp Function.
Plots Selected Outcomes from reg Object.
Plots Selected Outcomes from tvp Object.
Computes Predictions from dma Model.
Prints altf Object.
Prints altf2 Object.
Prints altf3 Object.
Prints altf4 Object.
Prints dma Object.
Prints grid.dma Object.
Prints grid.roll.reg Object.
Prints grid.tvp Object.
Prints reg Object.
Prints tvp Object.
Computes Recursive Regression.
Reduces the Size of fDMA or grid.DMA Outcomes.
Extracts Residuals from dma Model.
Computes Rolling Regression.
Extracts Relative Variable Importances from fDMA Model.
Standardizes a Numeric Matrix by Columns.
Computes a Few Stationarity Tests.
Summarizes Outcomes from altf Object.
Summarizes Outcomes from altf2 Object.
Summarizes Outcomes from altf3 Object.
Summarizes Outcomes from altf4 Object.
Summarizes Outcomes from dma Object.
Summarizes Outcomes from grid.dma Objects.
Summarizes Outcomes from grid.roll.reg Objects.
Summarizes Outcomes from grid.tvp Objects.
Summarizes Outcomes from reg Object.
Summarizes Outcomes from tvp Object.
Computes Time-Varying Parameters Regression.
Allows to estimate dynamic model averaging, dynamic model selection and median probability model. The original methods are implemented, as well as, selected further modifications of these methods. In particular the user might choose between recursive moment estimation and exponentially moving average for variance updating. Inclusion probabilities might be modified in a way using 'Google Trends'. The code is written in a way which minimises the computational burden (which is quite an obstacle for dynamic model averaging if many variables are used). For example, this package allows for parallel computations and Occam's window approach. The package is designed in a way that is hoped to be especially useful in economics and finance. Main reference: Raftery, A.E., Karny, M., Ettler, P. (2010) <doi:10.1198/TECH.2009.08104>.