ec.predict: produces predictions for the VECM via its VAR companion form

In cif: Cointegrated ICU Forecasting

produces predictions for the VECM via its VAR companion form

Description

Predicts both in-sample (1 step ahead) and out-of-sample (1 step ahead and dynamic forecasts)

Usage

ec.predict(est, det1, det2, ymat, npl, befpn, ndet, cal, kval = 1.959964)

Arguments

est	output from estimation by ec.EG1.R
det1	deterministic matrix of constant(s) and trend(s)
det2	deterministic matrix of seasonals and point dummies
ymat	matrix of lags
npl	n, p, nlag
befpn	begtrim, endtrim, nforecast, npred, nhstar
ndet	order of the model d(i,j)
cal	calendar, should match the number of rows in ymat
kval	how many se to use, default kval= 1.959964

Value

list with contains: afl (actual and 1 step ahead fitted levels) afd (actual and 1 step ahead fitted differences) fit (1 step ahead fit) dynpred (dynamic predictions) mAt mB (companion matrix and selection of it) Sigmah (Sigmah for dyn forecasts) forstartdate (starting date for dyn forecast) outcal (dates for the prediction) h1star (h1star) cspred (table with change in sign of pred for Dx_1) indexfa (indices of forecast accuracy)

Author(s)

P. Berta, P. Paruolo, S. Verzillo, PG. Lovaglio

References

Berta et al. 2020

cif documentation built on March 18, 2022, 6:14 p.m.