VAR.FOR: VAR Forecasting

In VAR.etp: VAR Modelling: Estimation, Testing, and Prediction

VAR Forecasting

Description

Generate point forecasts and prediction intervals

Usage

VAR.FOR(x, p, h, type = "const", alpha = 0.95)

Arguments

x	data matrix in column
p	VAR order
h	Forecasting Periods
type	"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend
alpha	100(1-alpha) percent prediction intervals

Details

Prediction Intervals are based on normal approximation

Value

Intervals	Prediction Intervals, out-of-sample and dynamic
Forecast	Point Forecasts, out-of-sample and dynamic
alpha	Probability Content of Prediction Interva;s

Note

See Chapter 3 of Lutkepohl (2005)

Author(s)

Jae H. Kim

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples

#replicating Section 3.5.3 of Lutkepohl (2005)
data(dat)
VAR.FOR(dat,p=2,h=10,type="const",alpha=0.95)

VAR.etp documentation built on Aug. 31, 2023, 9:08 a.m.