REGtspred: Prediction of a fitted regression model with time series...

REGtspredR Documentation

Prediction of a fitted regression model with time series errors

Description

Perform prediction of a REGts model

Usage

REGtspred(model,newxt,h=1,orig=0)

Arguments

model

An output of the REGts command for a vector time series with exogenous variables

newxt

The new data matrix of the exogenous variables. It must be of the same dimension as the original exogenous variables and of length at least h (the forecast horizon).

orig

The forecast origin. The default is zero indicating that the origin is the last observation.

h

The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1.

Details

Perform prediction of a fitted REGts model

Value

pred

Forecasts

se.err

Standard errors of forecasts

rmse

Root mean squares of forecast errors

rmse

Root mean squared forecast errors

orig

Return the forecast origin

Author(s)

Ruey S. Tsay

References

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.


MTS documentation built on April 11, 2022, 5:07 p.m.