bridgr

Installation

install.packages("bridgr")

# install.packages("devtools")devtools::install_github("marcburri/bridgr")

Example

library(bridgr)gdp<- suppressMessages(tsbox::ts_pc(bridgr::gdp))bridge_model<- bridge(target=gdp,indic=baro,indic_predict="auto.arima",indic_lags=2,target_lags=1,h=2)#> The start dates of the target and indicator variables do not match. Aligning them to 2004-04-01#> Dependent variable: gdp | Frequency: quarter | Estimation sample: 2004-04-01 - 2022-10-01 | Forecast horizon: 2 quarter(s)forecast(bridge_model)#>    Point Forecast      Lo 80    Hi 80      Lo 95    Hi 95#> 74      0.8313868 -0.1302710 1.793045 -0.6393418 2.302115#> 75      0.5363317 -0.4397745 1.512438 -0.9564939 2.029157summary(bridge_model)#> Bridge model summary#> -----------------------------------#> Main model:#> -----------------------------------#> Series:  gdp#> Regression with ARIMA(1,0,0) errors#>#> Coefficients:#>          ar1  intercept    baro  baro_lag1  baro_lag2#>       0.1740    -7.4164  0.1574    -0.0957     0.0172#> s.e.  0.1312     1.4152  0.0126     0.0125     0.0127#>#> sigma^2 = 0.5631:  log likelihood = -80.04#> AIC=172.09   AICc=173.36   BIC=185.83#> -----------------------------------#> Single indicator models:#> -----------------------------------#> Series:  baro#> ARIMA(1,0,2) with non-zero mean#>#> Coefficients:#>          ar1     ma1     ma2      mean#>       0.6688  0.5305  0.3316  100.8580#> s.e.  0.0653  0.0799  0.0753    1.5774#>#> sigma^2 = 18.46:  log likelihood = -646.14#> AIC=1302.28   AICc=1302.55   BIC=1319.36#> Aggregation to low frequency:#> Using mean over values in corresponding periods.#> -----------------------------------