predict.varshrinkest: Predict method for objects of class varshrinkest

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

Forecating a VAR object of class 'varshrinkest' with confidence bands. This is a modification of vars::predict.varest() for the class "varshrinkest".

Usage

## S3 method for class 'varshrinkest'
predict(object, ..., n.ahead = 10, ci = 0.95,
  dumvar = NULL)

Arguments

object	An object of class 'varshrinkest'; generated by VARshrink()
...	currently not used.
n.ahead	An integer specifying the number of forecast steps.
ci	The forecast confidence interval
dumvar	Matrix for objects of class ‘vec2var’ or ‘varest’, if the dumvar argument in ca.jo() has been used or if the exogen argument in VARshrink() has been used, respectively. The matrix should have the same column dimension as in the call to ca.jo() or to VARshrink() and row dimension equal to n.ahead.

VARshrink documentation built on Oct. 9, 2019, 5:06 p.m.