VARXpred: VARX Model Prediction

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

VARX Model Prediction

Description

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

Usage

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.

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