Out of sample forecast (or simulated out of sample)

Usage

oos_prev(model, date = 28, period = 1, ...)

# S3 method for class 'lm'
oos_prev(model, date = 28, period = 1, data = NULL, ...)

# S3 method for class 'piece_reg'
oos_prev(model, date = 28, period = 1, ...)

# S3 method for class 'tvlm'
oos_prev(
  model,
  date = 28,
  period = 1,
  data_est = NULL,
  fixed_bw = FALSE,
  bw = NULL,
  end = numeric(),
  frequency = 1,
  ...
)

# S3 method for class 'bp_lm'
oos_prev(
  model,
  date = 28,
  period = 1,
  data_est = NULL,
  data,
  fixed_bw = FALSE,
  bw = NULL,
  ...
)

# S3 method for class 'piece_reg'
oos_prev(model, date = 28, period = 1, ...)

Arguments

model: an object used to select a method
date: choose when we want to start the revision process after the start date. By default set to 28 periods.
period: choose by how many values we want to move forward. By default set to 1.
...: other arguments
data: a ts object containing the variables in the model. Necessary only when x is a formula.
data_est, end, frequency: optional arguments to specify the data used to estimate the model, the last date and the frequency
fixed_bw: logical, by default set to FALSE. Indicates if the bandwidth has to be computed again in the forecast model, or if it takes the value of the bandwidth of the tvlm model.
bw: bandwidth of the local regression (when tvlm = TRUE).

Value

oos_prev returns an object of class revision, only for models of class lm and tvlm. For an object of class bplm it returns the same forecasts and residuals as below. An object of class revision is a list containing the following elements:

model: all models used to forecast
debut: same as date chosen earlier
intervalle: same as period chosen earlier
end_dates: a vector of all end date of each models
frequency: the frequency of the data
forecast: the forecast
residuals: the errors of the forecast

Examples

data_gdp <- window(gdp, start = 1980, end = c(2019, 4))
reg_lin <- lm(
  formula = growth_gdp ~ bc_fr_m1 + diff_bc_fr_m1,
  data = data_gdp
)
oos <- oos_prev(reg_lin)