FCVARforecast: Forecasts with the FCVAR Model

View source: R/FCVAR_post.R

FCVARforecastR Documentation

Forecasts with the FCVAR Model


FCVARforecast calculates recursive forecasts with the FCVAR model.


FCVARforecast(x, model, NumPeriods)



A matrix of variables to be included in the system. The forecast will be calculated using these values as starting values.


A list of estimation results, just as if estimated from FCVARest. The parameters in model can also be set or adjusted by assigning new values.


The number of time periods in the simulation.


A NumPeriods \times p matrix xf of forecasted values.

See Also

FCVARoptions to set default estimation options. FCVARestn for the specification of the model. FCVARforecast calls FracDiff and Lbk to calculate the forecast.

Other FCVAR auxiliary functions: FCVARlikeGrid(), FCVARsimBS(), FCVARsim(), FracDiff(), plot.FCVAR_grid()


opt <- FCVARoptions()
opt$gridSearch   <- 0 # Disable grid search in optimization.
opt$dbMin        <- c(0.01, 0.01) # Set lower bound for d,b.
opt$dbMax        <- c(2.00, 2.00) # Set upper bound for d,b.
opt$constrained  <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no.
x <- votingJNP2014[, c("lib", "ir_can", "un_can")]
opt1 <- opt
opt1$R_Alpha <- matrix(c(0, 1, 0), nrow = 1, ncol = 3)
m1r4 <- FCVARestn(x, k = 2, r = 1, opt1)
xf <- FCVARforecast(x, m1r4, NumPeriods = 12)

FCVAR documentation built on May 5, 2022, 9:06 a.m.