<< robust Single equation regressions statfore >>

Grocer >> Single equation regressions > rolreg

rolreg

Compute rolling or recursive out-of-sample prevision

CALLING SEQUENCE

rreg = rolreg(namey0,,arg1,...,argn)

PARAMETERS

Input

* namey0 = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes

* argi = arguments which can be:

  - a time series

  - a real (nx1) vector

  - a real (nxk) matrix

  - a string equal to the name of a time series or a (nxk) real vector or matrix between quotes

  - a list of such elemnts

  - 'simu =''roll''' or ''recu''' : if the user want to use a rolling or recursice window (default=recursive)

  - 'hstep = xx': number of out-of-sample forecast which determine frequence of restimation of the model)

  - 'mul = 1' : if the user wants to keep forecast from 1 to hstep (otherwise the hstep forecast is conserved)

  - 'dates = [''xx'',''yy'']':  end of first estimation and end of sample

  - 'cte' if the user want a constant in the regression

  - 'meth=nwest' / 'ols' estimation

  - 'win = xx" truncation window for newey-west estimation

  - 'xsmpl=1' allow program to extand the last hstep-ahead forecasts beyond the last date of endogenous variable (provided exogenous data are available, the program tests it)

* prt = %f if the user does not want to print the results (optional)

 

Output

* rreg = a results tlist with

  - rreg('meth') = 'rolling' / 'recursive'

  - rreg('beta') = rolling/recursive betas

  - rreg('tstat') = rolling/recursive tstats

  - rreg('pvalue') = rolling/recursive pvalue of the betas

  - rreg('rsqr') = rolling/recursive rsquared

  - rreg('rbar') = rolling/recursiverbar-squared

  - rreg('yhat') = out-of-sample forecasts

  - rreg('prescte') = boolean indicating the presence or absence of a constant in the regression

  - rreg('bounds') = begin-end of first estimation and end of sample

  - rreg('nfor') = vector of number of realized forecast and number of desired forecast

DESCRIPTION

Computes rolling or recursive estimation and makes out-of-sample forecasts

EXAMPLE

//Examples taken from rolreg_d() :
global GROCERDIR ;
load(GROCERDIR+'\data\industrial.dat')
bounds()
ri = rolreg('delts(log(y))','ypast','delts(yfut)','cte','dates=[''1992q1'' ''2003q4'']','hstep=4','mul=1','simu=''recu''')
 //      Out-of-sample forecasts 4 quarters ahead, forecasts from 1 to 4 quater are stored, with recursive estimation
 
 ri = rolreg('delts(log(y))','ypast','delts(yfut)','cte','dates=[''1992q1'' ''2003q4'']','hstep=1','simu=''roll''')
//     Out-of-sample forecasts 1 quarter ahead with rolling estimation

AUTHOR

Emmanuel Michaux 2006

Report an issue
<< robust Single equation regressions statfore >>