Grocer Function
NAME
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
rpredf=predfail(rols,16)
This example is 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