VARX Model Prediction

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Description

Computes point forecasts of a VARX model. The values of exogenous variables must be given.

Usage

1
VARXpred(m1, newxt = NULL, hstep = 1, orig = 0)

Arguments

m1

An output object of VARX or refVARX command

newxt

The data matrix of exogenous variables needed in forecasts.

hstep

Forecast horizon

orig

Forecast origin. Default is 0, meaning the last data point.

Details

Uses the provided exogenous variables and the model to compute forecasts

Value

Point forecasts and their standard errors

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

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