
R6 Class Representing specification of the pseudo-out-of-sample forecasting exercise
Source:R/specify_poos_forecast.R
specify_poosf_exercise.Rd
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
Method new()
Create a new specification POOSForecastSetup
of the
recursive pseudo-out-of-sample forecasting exercise using expanding window
samples.
Usage
specify_poosf_exercise$new(
spec,
S,
S_burn,
horizons = 1L,
training_sample = 1L
)
Arguments
spec
a model specification object of class
BVARPANEL
orBVARGROUPPANEL
.S
a positive integer - number of draws from the posterior distribution for model estimation for each of the forecasts
S_burn
a positive integer - number of draws from the posterior distribution to obtain convergence for model estimation for each of the forecasts
horizons
a vector with positive integers - forecast horizons at which forecasting performance is to be verified
training_sample
a positive integer - the number of the first observations to be used for estimation for the first forecast. The number of observations to be used for remaining forecasts increases recursively by one for each forecast.
Returns
A new specification POOSForecastSetup
of the
recursive pseudo-out-of-sample forecasting exercise using expanding window
samples.
Examples
spec = specify_bvarPANEL$new(ilo_dynamic_panel)
poos = specify_poosf_exercise$new(spec, 5000, 1000, 1:2, 10)
Examples
spec = specify_bvarPANEL$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)