Commit fdee69f7 authored by Johannes Pfeifer's avatar Johannes Pfeifer
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Document recursive forecasts

Closes #303
parent 97f777ea
......@@ -4183,7 +4183,7 @@ the file
@anchor{nobs1}
Runs a recursive estimation and forecast for samples of size ranging
of @var{INTEGER1} to @var{INTEGER2}. Option @code{forecast} must
also be specified
also be specified. The forecasts are stored in the @code{RecursiveForecast} field of the results structure. @xref{RecursiveForecast}
@item first_obs = @var{INTEGER}
@anchor{first_obs}
......@@ -4940,6 +4940,33 @@ Variable set by the @code{estimation} command. Stores parameter vector of final
Variable set by the @code{estimation} command. Stores log-posterior of final MCMC chain draw
@end defvr
@defvr {MATLAB/Octave variable} oo_.RecursiveForecast
@anchor{RecursiveForecast}
Variable set by the @code{forecast} option of the @code{estimation} command when used with the nobs = [@var{INTEGER1}:@var{INTEGER2}] option (@xref{nobs1,,nobs}).
Fields are of the form:
@example
@code{oo_.RecursiveForecast.@var{FORECAST_OBJECT}.@var{VARIABLE_NAME}}
@end example
where @var{FORECAST_OBJECT} is one of the following@footnote{See @ref{forecast} for more information}:
@table @code
@item Mean
Mean of the posterior forecast distribution
@item HPDinf/HPDsup
Upper/lower bound of the 90\% HPD interval taking into account only parameter uncertainty
@item HPDTotalinf/HPDTotalsup
Upper/lower bound of the 90\% HPD interval taking into account both parameter and future shock uncertainty
@end table
@var{VARIABLE_NAME} contains a matrix of the following size: number of time periods for which forecasts are requested using the nobs = [@var{INTEGER1}:@var{INTEGER2}] option times the number of forecast horizons requested by the @code{forecast} option. I.e., the row indicates the period at which the forecast is performed and the column the respective k-step ahead forecast. The starting periods are sorted in ascending order, not in declaration order.
@end defvr
@deffn Command model_comparison @var{FILENAME}[(@var{DOUBLE})]@dots{};
@deffnx Command model_comparison (marginal_density = laplace | modifiedharmonicmean) @var{FILENAME}[(@var{DOUBLE})]@dots{};
......
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