Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: cafpe
See also: tp/cafpe/cafpe tp/cafpe/cafpefull tp/cafpe/cafpeload

Quantlet: cafpedefault
Description: Quantlet to define advanced parameters for conducting lag selection for nonlinear autoregressive models using the quantlet cafpefull

Usage: { xresid,trueres,volat,startval,robden,selcrit,perA,perB,noutputf,outpath }=cafpedefault()
Output:
xresid (nr x 1) vector of residuals for selecting lags of conditional volatility function; if not needed set xresid = 0
trueres character variable that contains path and name of residuals stored in ascii file if y=0; needed if volat = resid
volat "no": lag selection for conditional mean function; "resid": lag selection for conditional volatility function, the residuals of fitting a conditional mean function have to be contained in xresid
startval character variable, to control treatment of starting values "different": for each lag vector as few starting values are used as necessary; "same": for each lag vector the same starting value is used which is determined by the largest lag used in the lag selection quantlet xorigxe
robden character variable for switching on/off robustification of density estimation a la Tjostheim & Auestad (1994), see also Section 5 in TY "yes": on; "no": off
selcrit character variable to select lag selection critierion: "lqafpe": estimating the asymptotic Final Prediction Error (AFPE) using local linear estimation and a plug-in bandwidth based on partial local quadratic estimator "lqcafpe": estimating the corrected asymptotic Final Prediction Error (CAFPE) using local linear estimation and a plug-in bandwidth based on partial local quadratic estimator
perA scalar, parameter used for screening off 0 <= per_A <= 1 percent of the observations with the lowest density for estimating A, see eq. (3.1) and Section 5 in TY
perB scalar, parameter like per_A but for screening of observations per_B lowest density for estimating B
noutputf character variable, name of output file
outpath character variable, path for output file

Library: cafpe
See also: tp/cafpe/cafpe tp/cafpe/cafpefull tp/cafpe/cafpeload

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Tschernig 000420
(C) MD*TECH Method and Data Technologies, 27.4.2000