VAR.Fore: VAR Forecasting

View source: R/VAR.Fore.R

VAR.ForeR Documentation

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 July 2, 2022, 1:05 a.m.