Smith Small Country

#

# Smith Small Country (Cut and paste code into window above and Run (Cmd-Enter)

#

merge.forecast <- function (fx,n=1) {

x <- splice(fx$pred,fx$forecast[[n]])

colnames(x) <- seriesNames(fx$data$output)

return(x)

}

AIC <- function(model) {informationTestsCalculations(model)[3]}

require(dse)

require(matlab)

#

f <- matrix( c( -5.507190e-15,    0,    0, 0.51,

                      -4.130392e-15,    0,    0 ,0.52,

                      -6.883987e-15,    0,    0 ,0.53,

0.00000000,  0.0000000, 0, 1.0000000000

),byrow=TRUE,nrow=4,ncol=4)

#

# For Random Walk, Uncomment following line

# f <- eye(4)

#

h <- eye(3,4)

k <- (f[,1:3,drop=FALSE])

Smith <- SS(F=f,H=h,K=k,z0=c(0.51, 0.52 ,0.53,  1.0000000000),

              output.names=c("Smith1","Smith2","Smith3"))

print(Smith)

is.SS(Smith)

stability(SS(F=f[1:3,1:3,drop=FALSE],H=eye(3),Q=eye(3),R=eye(3)))

#

#
Smith.data <- simulate(Smith,sampleT=100,start=1)

Smith.f <- forecast(l(Smith,Smith.data),horizon=150)

tfplot(Smith.f)

AIC(l(Smith,Smith.data))