https://github.com/cran/dse
Tip revision: 255d6b0f2bb198b3fdf1ac04a994762b381b07a7 authored by Paul Gilbert on 26 February 2020, 06:10:02 UTC
version 2020.2-1
version 2020.2-1
Tip revision: 255d6b0
estBlackBox2.Rd
\name{estBlackBox2}
\alias{estBlackBox2}
\title{Estimate a TSmodel}
\description{Estimate a TSmodel.}
\usage{
estBlackBox2(data, estimation='estVARXls',
lag.weight=.9,
reduction='MittnikReduction',
criterion='taic',
trend=FALSE,
subtract.means=FALSE, re.add.means=TRUE,
standardize=FALSE, verbose=TRUE, max.lag=12)
}
\arguments{
\item{data}{a TSdata object.}
\item{estimation}{a character string indicating the estimation method to use.}
\item{lag.weight}{weighting to apply to lagged observations. }
\item{reduction}{character string indicating reduction procedure to use. }
\item{criterion}{criterion to be used for model
selection. see \code{informationTestsCalculations}.}
\item{trend}{if TRUE include a trend in the model. }
\item{subtract.means}{
if TRUE the mean is subtracted from the data before estimation.}
\item{re.add.means}{
if subtract.means is TRUE then if re.add.means is TRUE
the estimated model is
converted back to a model for data without the mean subtracted.}
\item{standardize}{
if TRUE the data is transformed so that all variables have the same variance.}
\item{verbose}{if TRUE then additional information from the estimation and
reduction procedures is printed.}
\item{max.lag}{The number of lags to include in the VAR estimation.}
}
\value{A TSestModel.}
\details{
A model is estimated and then a reduction procedure applied. The
default estimation procedure is least squares estimation of
a VAR model with lagged values weighted. This procedure is discussed in
Gilbert (1995).
}
\references{
Gilbert, P.D. (1995) Combining VAR Estimation and State Space
Model Reduction for Simple Good Predictions \emph{J. of Forecasting:
Special Issue on VAR Modelling}, \bold{14}, 229--250.
}
\seealso{
\code{\link{estBlackBox1}},
\code{\link{estBlackBox3}}
\code{\link{estBlackBox4}}
\code{\link[dse]{informationTestsCalculations}}
}
\examples{
data("eg1.DSE.data.diff", package="dse")
z <- estBlackBox2(eg1.DSE.data.diff)
}
\concept{DSE}
\keyword{ts}