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predict_rolling(VAR) for n.ahead >1 does not give expected result...
library(tsDyn) #> Registered S3 method overwritten by 'quantmod': #> method from #> as.zoo.data.frame zoo data(zeroyld) fit_var <- lineVar(zeroyld, lag = 1, include = "const", model = "VAR") predicted_values_h1 <- predict_rolling(fit_var, nroll = 20, refit = 1, n.ahead = 1)$pred predicted_values_h2 <- predict_rolling(fit_var, nroll = 20, refit = 1, n.ahead = 2)$ pred pre_manu_h1 <- predict(lineVar(zeroyld[1:(nrow(zeroyld)-20),], lag = 1, include = "const", model = "VAR"), n.ahead=1) pre_manu_h2 <- predict(lineVar(zeroyld[1:(nrow(zeroyld)-20),], lag = 2, include = "const", model = "VAR"), n.ahead=1) ## Ok for n.ahead=1 all.equal(predicted_values_h1[1,], as.data.frame(pre_manu_h1), check.attributes=FALSE) #> [1] TRUE ## NOT Ok for n.ahead=2 !? all.equal(predicted_values_h2[1,], as.data.frame(pre_manu_h2), check.attributes=FALSE) #> [1] "Component \"short.run\": Mean relative difference: 0.05865474" #> [2] "Component \"long.run\": Mean relative difference: 0.09535"
Created on 2021-03-15 by the reprex package (v1.0.0)
The text was updated successfully, but these errors were encountered:
I am unable to get TVAR GIRF . Kindly help . Thanks and Regards.
head(cakanew) ka ca ir er 1996 Q1 0.03037077 -0.022070407 0.6773027 0.09978520 1996 Q2 0.03109329 -0.011231042 1.0431002 0.12984630 1996 Q3 0.02848449 -0.011109047 0.7786335 0.10633241 1996 Q4 0.02383186 -0.000525194 0.9014583 0.10599754 1997 Q1 0.04063935 -0.013199869 1.1963604 0.09695199 1997 Q2 0.01605832 0.001871578 0.6120771 0.11383574 exampleTVAR <- TVAR(cakanew, lag=2, nthresh=1, thDelay=1, mTh=1, plot=FALSE) Best unique threshold 0.02656121 saved_girfs <- GIRF(exampleTVAR, c(0,0,0,4), H = 10, R = 10) summary(saved_girfs) Length Class Mode 0 NULL NULL plot(saved_girfs) Error in plot.window(...) : need finite 'xlim' values In addition: Warning messages: 1: In min(x) : no non-missing arguments to min; returning Inf 2: In max(x) : no non-missing arguments to max; returning -Inf 3: In min(x) : no non-missing arguments to min; returning Inf 4: In max(x) : no non-missing arguments to max; returning -Inf
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predict_rolling(VAR) for n.ahead >1 does not give expected result...
Created on 2021-03-15 by the reprex package (v1.0.0)
The text was updated successfully, but these errors were encountered: