predict.fm: Forecasting for factor models

In fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Forecasting for factor models

Description

Produces forecasts of the data input to object for a given forecasting horizon by estimating the best linear predictors of the common component

Usage

## S3 method for class 'fm'
predict(object, n.ahead = 1, fc.restricted = TRUE, r = c("ic", "er"), ...)

Arguments

object	fm object
n.ahead	forecasting horizon
fc.restricted	if fc.restricted = TRUE, the forecast is generated under a restricted factor model
r	number of static factors, or a string specifying the factor number selection method when fc.restricted = TRUE; possible values are: "ic" information criteria of Alessi, Barigozzi & Capasso (2010) "er" eigenvalue ratio of Ahn & Horenstein (2013)
...	not used

Value

a list containing

is	in-sample predictions
forecast	forecasts for the given forecasting horizon
r	factor number

See Also

fnets.factor.model

Examples

out <- fnets.factor.model(data.restricted, fm.restricted = TRUE)
pre <- predict(out)

fnets documentation built on May 29, 2024, 8:42 a.m.