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Set Numeric Estimation Parameters and Modelling Span

Source: R/spec_regarima.R
set_estimate.Rd

Function allowing to define numeric boundaries for estimation and to define a sub-span on which reg-arima (tramo) modelling will be performed (pre-processing step)

Usage

set_estimate(
  x,
  type = c(NA, "All", "From", "To", "Between", "Last", "First", "Excluding"),
  d0 = NULL,
  d1 = NULL,
  n0 = 0,
  n1 = 0,
  tol = NA,
  exact.ml = NA,
  unit.root.limit = NA
)

Arguments

x

the specification to customize, must be a "SPEC" class object (see details).

type, d0, d1, n0, n1

parameters to specify the sub-span .

d0 and d1 characters in the format "YYYY-MM-DD" to specify first/last date of the span when type equals to "From", "To" or "Between". Date corresponding to d0 will be included in the sub-span Date corresponding to d1 will be excluded from the sub span

n0 and n1 numeric to specify the number of periods at the beginning/end of the series to be used for defining the sub-span (type equals to "First", "Last") or to exclude (type equals to "Excluding").

tol

a numeric, convergence tolerance. The absolute changes in the log-likelihood function are compared to this value to check for the convergence of the estimation iterations. (The default setting is 0.0000001)

exact.ml

(TRAMO specific) logical, the exact maximum likelihood estimation. If TRUE, the program performs an exact maximum likelihood estimation. If FASLE, the Unconditional Least Squares method is used.(Default=TRUE)

unit.root.limit

(TRAMO specific) numeric, the final unit root limit. The threshold value for the final unit root test for identification of differencing orders. If the magnitude of an AR root for the final model is smaller than this number, then a unit root is assumed, the order of the AR polynomial is reduced by one and the appropriate order of the differencing (non-seasonal, seasonal) is increased.(Default value: 0.96)

Details

x specification param must be a JD3_X13_SPEC" class object generated with rjd3x13::x13_spec() (or "JD3_REGARIMA_SPEC" generated with rjd3x13::spec_regarima() or "JD3_TRAMOSEATS_SPEC" generated with rjd3tramoseats::spec_tramoseats() or "JD3_TRAMO_SPEC" generated with rjd3tramoseats::spec_tramo()).

References

More in JDemetra+ online documentation: https://jdemetra-new-documentation.netlify.app/

See also

set_basic, set_arima

Examples

# init_spec <- rjd3tramoseats::spec_tramoseats("rsafull")
# new_spec<-set_estimate(init_spec, type= "From", d0 = "2012-01-01", tol = 0.0000002,
# exact.ml = FALSE, unit.root.limit = 0.98)