forecastADAPT

Computation of Adaptive Forecast

The function forAD() implements the adaptive forecasting procedure of Giraitis, Kapetanios and Price (2013) <doi:10.1016/j.jeconom.2013.04.003>. The method can be iterated (e.g., adapt²) and combined with autoregressive (AR) forecasting. These approaches are computationally simple and adapt automatically to structural changes without requiring prior specification of the underlying data-generating process. They are applicable to both stationary and non-stationary time series. The numerical and graphical outputs assist in selecting an appropriate forecasting method, particularly one that minimises mean squared forecast error (MSFE) and yields uncorrelated forecast errors.

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