VAR.Fore: VAR Forecasting

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

VAR Forecasting

Description

Generate point forecasts using the estimated VAR coefficient matrix

Usage

VAR.Fore(x, b, p, h, type = "const")

Arguments

x	data matrix in column
b	matrix of coefficients from VAR.est or VAR.Rest
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

Details

Generate point forecasts using the estimated VAR coefficient matrix

Value

Fore	Point Forecasts, out-of-sample and dynamic

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)
b=VAR.est(dat,p=2,type="const")$coef
VAR.Fore(dat,b,p=2,h=10,type="const")

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