VARpred: VAR Prediction

Description Usage Arguments Details Value Author(s) References Examples

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

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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2
3
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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)

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.