Producing the in sample predictions of a prais-lm regression

The function in_sample returns in-sample predictions from a praislm or a twoStepsBenchmark object.

Usage

in_sample(object, type = "changes")

Arguments

object

an object of class "praislm" or "twoStepsBenchmark".

type

"changes" or "levels". The results are either returned in changes or in levels.

Value

a named matrix time series of two columns, one for the response and the other for the predicted value. A "tscomparison" class is added to the object.

Details

The functions plot and autoplot can be used on this object to produce graphics.

The predicted values are different from the fitted values :

• they are eventually reintegrated.

• they contain the autocorrelated part of the residuals.

Besides, changes are relative to the latest benchmark value, not the latest predicted value.

See also

in_disaggr in_revisions in_scatter plot.tscomparison

Examples

benchmark <- twoStepsBenchmark(turnover,construction,include.rho = TRUE)
plot(in_sample(benchmark))