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

## Description

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

## Usage

 1 VARpred(model, h = 1, orig = 0, Out.level = FALSE, output = TRUE)

## 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 Boolean control for details of output output Boolean control for printing forecast results

## 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

Ruey S. Tsay

## References

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

## Examples

 1 2 3 4 5 data("mts-examples",package="MTS") gdp=log(qgdp[,3:5]) zt=diffM(gdp) m1=VAR(zt,p=2) VARpred(m1,4)

### Example output

Constant term:
Estimates:  0.001258163 0.001231581 0.002895581
Std.Error:  0.0007266338 0.0007382941 0.000816888
AR coefficient matrix
AR( 1 )-matrix
[,1]  [,2]   [,3]
[1,] 0.393 0.103 0.0521
[2,] 0.351 0.338 0.4691
[3,] 0.491 0.240 0.2356
standard error
[,1]   [,2]   [,3]
[1,] 0.0934 0.0984 0.0911
[2,] 0.0949 0.1000 0.0926
[3,] 0.1050 0.1106 0.1024
AR( 2 )-matrix
[,1]   [,2]     [,3]
[1,]  0.0566  0.106  0.01889
[2,] -0.1914 -0.175 -0.00868
[3,] -0.3120 -0.131  0.08531
standard error
[,1]   [,2]   [,3]
[1,] 0.0924 0.0876 0.0938
[2,] 0.0939 0.0890 0.0953
[3,] 0.1038 0.0984 0.1055

Residuals cov-mtx:
[,1]         [,2]         [,3]
[1,] 2.824442e-05 2.654091e-06 7.435286e-06
[2,] 2.654091e-06 2.915817e-05 1.394879e-05
[3,] 7.435286e-06 1.394879e-05 3.569657e-05

det(SSE) =  2.258974e-14
AIC =  -31.13328
BIC =  -30.726
HQ  =  -30.96783
orig  125
Forecasts at origin:  125
uk        ca       us
[1,] 0.003129 0.0005166 0.001660
[2,] 0.002647 0.0031687 0.004889
[3,] 0.003143 0.0048231 0.005205
[4,] 0.003839 0.0053053 0.005998
Standard Errors of predictions:
[,1]     [,2]     [,3]
[1,] 0.005315 0.005400 0.005975
[2,] 0.005804 0.007165 0.007077
[3,] 0.006202 0.007672 0.007345
[4,] 0.006484 0.007785 0.007442
Root mean square errors of predictions:
[,1]     [,2]    [,3]
[1,] 0.005461 0.005549 0.00614
[2,] 0.038967 0.078131 0.06305
[3,] 0.036637 0.045956 0.03329
[4,] 0.031926 0.023140 0.02120

MTS documentation built on Oct. 10, 2018, 5:04 p.m.