Forecast OSEM Insample — forecast

This function runs the OSEM model insample and can be used to evaluate the historical forecast performance. In doing so, the function determines the share of the sample that should be used for the insample forecasting. The function then runs the model up to the last time point of the sample and forecasts the values for all dependent variables. The function also reports diagnostics for those forecasts, such as the RMSFE and the forecast failures (share of forecasts outside of the uncertainty bands).

Usage

forecast_insample(
  model,
  sample_share = 0.5,
  uncertainty_sample = 100,
  exog_fill_method = "AR",
  plot = TRUE,
  quiet = FALSE
)

Arguments

model: A model object of class 'osem'.
sample_share: Share of the sample that should be used for the insample forecasting. Must be a numeric and must be either 1 or smaller but larger than 0.
uncertainty_sample: Integer. Number of draws to be made for the error bars. Default is 100.
exog_fill_method: Character vector that contains the methods to fill the exogenous variables. Default is "AR" but can also contain multiple methods, e.g. c("AR","auto").
plot: Logical. Should the result be plotted? Default is TRUE.
quiet: Logical. Should messages about the forecast procedure be suppressed?

Value

An object (list) with the class osem.forecast.insample. This object contains the central estimates and the uncertainty estimates of the forecasted values as well as the original data.