dynsim

Dynamic Simulations of Autoregressive Relationships

Version 1.2.3

Christopher Gandrud, Laron K Williams, and Guy D Whitten

About

The dynsim package implements Williams and Whitten’s (2011, 2012) method for dynamic simulations of autoregressive relationships in R.

Process

There are four basic steps to use dynsim to create dynamic simulations of autoregressive relationships:

1. Estimate your linear model using lm or similar functions.

2. Set up starting values for simulation scenarios and (optionally) shock values at particular iterations (e.g. points in forecasted time).

3. Simulate these scenarios based on the estimated model using the dynsim function.

4. Plot the simulation results with the dynsimGG function.

Examples

For examples please visit https://christophergandrud.github.io/dynsim/.

Install

dynsim is available on CRAN

You can also easily install the latest development version with the devtools package:

devtools::install_github("christophergandrud/dynsim")