ssPredict#

Purpose#

Computes in-sample predictions or out-of-sample forecasts based on the final parameters contained in the filled ssOut structure.

Format#

forecasts = ssPredict(sOut, y[, start_pred, end_pred])#

Parameters:

sOut (Struct) – a filled instance of an ssOut structure.
y (Matrix) – Matrix, observed data used to estimate the parameters.
start_pred (Scalar) – Optional argument, the observation at which to start predictions/forecasts. Default is to compute out-of-sample forecasts starting immediately following the final observations.
end_pred (Scalar) – Optional argument, the observation at which to end predictions/forecasts. Default is to compute 20 out-of-sample forecasts such that end_pred = numObs + 20. Must be greater than start_pred.

Returns:

forecasts (Matrix) – Predicted observations.

Examples#

new;
library cmlmt, tsmt, sslib;

/*
** Outline the state space process
*/
// Filename
fname = getGAUSShome $+ "pkgs/tsmt/examples/enders_sim2.dat";
y = loadd(fname, "ar2");

// Set up parameter vector and start values
param_vec_st = asDF(zeros(3, 1), "param");

param_vec_st[1] = -0.322;
param_vec_st[2] = 0.433;
param_vec_st[3] = 0.0025;

// Declare shape
k_endog = 1;
k_states = 2;

// Declare ssControl structure
struct ssControl ssCtl;
ssCtl = ssControlCreate(k_states, k_endog);

// Set fixed parameters of model
ssCtl.ssm.Z = { 1 0 };
ssCtl.ssm.R[1, 1] = 1;

// Constraint variables
ssCtl.stationary_vars = 1|2;
ssCtl.positive_vars = 3;

// Call ssFit function
struct ssOut sOut;
sOut = ssFit(&updateSSModel, param_vec_st, y, ssCtl);

// Compute forecasts
forecasts= ssPredict(sOut, y);

// Set up procedure for updating SS model
// structure
proc (0) = updateSSModel(struct ssModel *ssmod, param);

    // Set up kalman filter matrices
    ssmod->T =  param[1 2]'|(1~0);
    ssmod->Q[1, 1] = param[3];

endp;

After running the above code, the first five forecasts are:

-0.10856698
-0.047276077
 0.018008595
 0.034258528
 0.015093713

Remarks#

This function should be called after the ssOut structure has been filled by the ssFit() procedure.

Source#

ssmain.src