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Grocer >> Econometric tests and diagnostics > predfail

predfail

out of sample predictive failure test

CALLING SEQUENCE

[rpredf]=predfail(grocer_res,arg1,…,argn)

PARAMETERS

Input

• grocer_res = the tlist results resulting from a regression

• argi:

 - the string 'noprint' if the user doesn't want to print the results of the regression

 - a constant, which idicates the # of periods over which the forecast is done

 - a date, which indicates the date until which the forecast is done (if the estimation has been made with ts)

Output

• grocer_rpredf = a results tlist with:

  - grocer_rpredf('meth') = 'rprefail'

  - grocer_rpredf('res0') = results tlist of the originating estimation

  - grocer_rpredf('chistat') = value of the test statistics

  - grocer_rpredf('pchi') = its p-level

  - grocer_rpredf('p') = the # of forecasts

  - grocer_rpredf('prests') = boolean indicating the presence or absence of a time series in the regression

  - grocer_rpredf('prests') = the residuals over the forecasting period

  - grocer_rpredf('bounds') = the bounds of the forecasting period

DESCRIPTION

Computes out-of-sample predictive failure test. Results are stored in a tlist and displayed on screen if the user has not given as second argument 'noprint'.

EXAMPLE

load(GROCERDIR+'/data/bdhenderic.dat');
bounds('1964q3','1985q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
//performs ols for Hendry and Ericsson (1991) equation n&#176; 6 
rpredf=predfail(rols,16)
 
// Example taken from predfail_d. The example provides the predictive failure test with 16 periods ahead for Hendry and Ericsson equation # 6, whose results have been stored in tlist rols.

AUTHOR

Eric Dubois 2002

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