Package: postshock 0.2.0
postshock: Donor-Adjusted Post-Shock Forecasting
Implements donor-adjusted methods for forecasting conditional means and variances after structural shocks. Historical donor episodes are weighted using covariates observed before each shock, and their estimated post-shock effects are combined with forecasts from a target-series model. The methods build on Lin and Eck (2021) <doi:10.1016/j.ijforecast.2021.03.010>. The package supports donor balancing weights, structured donor pools, autoregressive integrated moving average models, and generalized autoregressive conditional heteroscedasticity models with external regressors.
Authors:
postshock_0.2.0.tar.gz
postshock_0.2.0.zip(r-4.7-any)
postshock_0.2.0.tar.gz(r-4.7-any)postshock_0.2.0.tar.gz(r-4.6-any)
postshock_0.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
postshock/json (API)
| # Install 'postshock' in R: |
| install.packages('postshock', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- aapl_control_input - Apple control dataset
- aapl_onestep_input - Apple one-step control-shock experiment input
- cop_oil_postshock - COP oil post-shock input data
- iyg_onestep_input - One-step volatility forecasting input for IYG
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:64e767b022. Checks:5 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 157 | ||
| source / vignettes | OK | 217 | ||
| linux-release-x86_64 | OK | 182 | ||
| windows-devel-x86_64 | OK | 108 | ||
| wasm-release | OK | 121 |
Exports:auto_garchauto_garchxbuild_control_xregdbwSynthPredictionSynthPredictionMultiPoolSynthVolForecast
Dependencies:clicodetoolscolorspacecpp11digestfarverforecastfracdifffuturefuture.applygarchxgenericsggplot2globalsgluegtableisobandlabelinglatticelifecyclelistenvlmtestmagrittrnlmennetnumDerivparallellyR6RColorBrewerRcppRcppArmadillorlangRsolnpS7scalestimeDatetruncnormurcavctrsviridisLitewithrxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Apple control dataset | aapl_control_input |
| Apple one-step control-shock experiment input | aapl_onestep_input |
| Auto-select a GARCHX specification by BIC | auto_garch auto_garchx |
| Helper Function: Build control-shock xreg matrix | build_control_xreg |
| COP oil post-shock input data | cop_oil_postshock |
| Donor Balancing Weights (DBW) | dbw |
| One-step volatility forecasting input for IYG | iyg_onestep_input |
| SynthPrediction - Synthetic Prediction with Donor Balancing and Shock Adjustment | SynthPrediction |
| Multi-pool shock aggregation for SynthPrediction | SynthPredictionMultiPool |
| Synthetic Volatility Forecast with Donor Shock Adjustment | SynthVolForecast |
