dm {dynamo}R Documentation

Fitting Dynamic Models

Description

'dm' is used to fit dynamic models. It can be used to estimate several univariate dynamic models including ARMA, GARCH, ARMA-GARCH, ACD and MEM.

Usage

dm(formula,innovations=NULL,data=parent.frame(),est='mle',maxiter=NULL,param=NULL,ftol=NULL,log='none')

Arguments

formula a dynamo symbolic description of the model to be simulated.
innovations the family of distributions of model innovations.
data data frame with exogenous data.
est estimation method.
maxiter max iter.
param dynamic model parameters.
ftol tollerance.
log log level.

Value

'dm' returns an object of 'class' '"dm"'.
An object of class '"dm"' is a list containg:

coefficients fitted parameters.

Author(s)

Christian T. Brownlees

See Also

summary.dm print.dm rdm

Examples

# AR(1) GARCH(1,1) 
# simulate data
#y <- rdm( y~0+ar(1)+garch(1,1) , innovations='st' , 1000 , param=c(0.2,0.2,0.1,0.8,0.1) )
# estimate
#ar1garch11 <- dm( y~0+ar(1)+garch(1,1) , innovations='st' )
# view estimation results
#summary( ar1garch11 )

# ACD(1,1)
# simulate data
#y <- rdm( y~acd(1,1), 1000 , param=c(0.1,0.8,0.1,20.0) )
# estimate
#acd11 <- dm( y~acd(1,1)  )
# view estimation results
#summary( acd11 )
1+1

[Package dynamo version 0.1.3 Index]