SimData {eDMA} | R Documentation |
This is the simulated dataset used in Section 4.1 of Catania and Nonejad (2016).
data(USData)
A matrix object containing 500 x 6 simulated observations.
Catania, Leopoldo, and Nima Nonejad (2018). "Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package." Journal of Statistical Software, 84(11), 1-39. doi: 10.18637/jss.v084.i11.
West, Mike. Bayesian forecasting. John Wiley & Sons, Inc., 1999.
#the data set has been generated as: set.seed(7892) iT <- 500 iK <- 3 dV <- 0.1 mW <- diag(iK + 1) * 0.01 dPhi <- 1 vBeta0 <- rep(0, iK + 1) mX <- cbind(1, matrix(rnorm(iT * (iK)), iT, iK)) lOut <- SimulateDLM(iT, mX, vBeta0, mW, dV, dPhi) vY <- lOut$vY mX <- mX[, -1] iK_Add <- 2 mX_add <- matrix(rnorm(iT * iK_Add), iT, iK_Add) SimData <- cbind(y = vY, mX, mX_add) colnames(SimData) <- c("y", paste("x", 2:(iK + iK_Add + 1), sep = ""))