VAR Prediction

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Description

Computes the forecasts of a VAR model, the associated standard errors of forecasts and the mean squared errors of forecasts

Usage

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VARpred(model, h = 1, orig = 0, Out.level = F)

Arguments

model

An output object of a VAR or refVAR command

h

Forecast horizon, a positive integer

orig

Forecast origin. Default is zero meaning the forecast origin is the last data point

Out.level

A logical switch to control output

Details

Computes point forecasts and the associated variances of forecast errors

Value

pred

Point predictions

se.err

Standard errors of the predictions

mse

Mean-square errors of the predictions

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

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data("mts-examples",package="MTS")
gdp=log(qgdp[,3:5])
zt=diffM(gdp)
m1=VAR(zt,p=2)
VARpred(m1,4)

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