R6 Class Representing specification of the pseudo-out-of-sample forecasting exercise

The class POOSForecastSetup presents the specification of the recursive pseudo-out-of-sample forecasting exercise using expanding window samples.

Public fields

S

a positive integer number - the number of MCMC draws from the posterior distribution in the estimation for each forecasts

S_burn

a positive integer number - the number of MCMC draws from to achieve convergence in the estimation for each forecasts

horizons

a vector with positive integer numbers - the forecast horizons used in the forecast performance evaluation

training_sample

a positive integer number - the number of of the first observations to be used in the estimation for the first forecast

Methods

Public methods

• specify_poosf_exercise$new()

• specify_poosf_exercise$clone()

---

Method new()

Create a new specification POOSForecastSetup of the recursive pseudo-out-of-sample forecasting exercise using expanding window samples.

Usage

specify_poosf_exercise$new(
  spec,
  S,
  S_burn,
  horizons = 1L,
  training_sample = 1L
)

Arguments

spec

a model specification object of class BVARPANEL or BVARGROUPPANEL.

S

a positive integer - number of draws from the posterior distribution for model estimation for each of the forecasts

S_burn

a positive integer - number of draws from the posterior distribution to obtain convergence for model estimation for each of the forecasts

horizons

a vector with positive integers - forecast horizons at which forecasting performance is to be verified

training_sample

a positive integer - the number of the first observations to be used for estimation for the first forecast. The number of observations to be used for remaining forecasts increases recursively by one for each forecast.

Returns

A new specification POOSForecastSetup of the recursive pseudo-out-of-sample forecasting exercise using expanding window samples.

Examples

spec = specify_bvarPANEL$new(ilo_dynamic_panel)
poos = specify_poosf_exercise$new(spec, 5000, 1000, 1:2, 10)

---

Method clone()

The objects of this class are cloneable with this method.

Usage

specify_poosf_exercise$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

spec = specify_bvarPANEL$new(ilo_dynamic_panel)
poos = specify_poosf_exercise$new(spec, 5000, 1000, 1:2, 10)


## ------------------------------------------------
## Method `specify_poosf_exercise$new`
## ------------------------------------------------

spec = specify_bvarPANEL$new(ilo_dynamic_panel)
poos = specify_poosf_exercise$new(spec, 5000, 1000, 1:2, 10)