arguments.regressors {BTSR}R Documentation

Shared documentation for regressors

Description

This is the common documentation for arguments related to the regressors.

Arguments

xreg

optional; external regressors. Can be specified as a vector, a matrix or a list. Default is xreg = NULL. For details, see the Section Regressors format.

xnew

optional; nnew new observations of the external regressors (extract and fit only). Follows the same format is the same as xreg. Default is xnew = NULL.

xreg.start

optional; initial value for the regressors (to initialize recursion). Can be specified as a vector or a list. Default is xreg.start = NULL, in which case, the average of the first p values (AR order) is used. Only relevant if xreg is provided, xregar = TRUE and p > 0. For details, see the Section Regressors format.

xregar

a length 1 or 2 logical vector indicating whether xreg should be included in the AR recursion for each part of the model. Default is xregar = TRUE. Only relevant if p > 0. If a single value is provided and \nu is time-varying, the same option is assumed for both parts of the model. See the Section ‘The BTSR structure’ in btsr-package for details.

Regressors format

In-sample (xreg) and out-of-sample values (xnew) for regressors can be provided in two formats

xreg.start can be provided in two formats

The following rules apply to xreg, xnew and xreg.start


[Package BTSR version 1.0.0 Index]