out of sample predictive failure test
[rpredf]=predfail(grocer_res,arg1,...,argn)
* grocer_res = the tlist results resulting from a regression
* arg1,...,argn =
- 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)
* 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
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 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. | ![]() | ![]() |