R/forecast.varest.R

In forecast: Forecasting Functions for Time Series and Linear Models

# forecast function for varest, just a wrapper for predict.varest
#' @export
forecast.varest <- function(object, h=10, level=c(80, 95), fan=FALSE, ...) {
  out <- list(model = object, forecast = vector("list", object$K))
  # Get residuals and fitted values and fix the times

  tspx <- tsp(object$y)
  vres <- residuals(object)
  vfits <- fitted(object)
  method <- paste0("VAR(", object$p, ")")
  # Add forecasts with prediction intervals
  # out$mean <- out$lower <- out$upper <- vector("list",object$K)
  for (i in seq_along(level))
  {
    pr <- predict(object, n.ahead = h, ci = level[i] / 100, ...)
    for (j in 1:object$K)
    {
      out$forecast[[j]]$lower <- cbind(out$forecast[[j]]$lower, pr$fcst[[j]][, "lower"])
      out$forecast[[j]]$upper <- cbind(out$forecast[[j]]$upper, pr$fcst[[j]][, "upper"])
    }
  }
  j <- 1
  for (fcast in out$forecast) {
    fcast$mean <- ts(pr$fcst[[j]][, "fcst"], frequency = tspx[3], start = tspx[2] + 1 / tspx[3])
    fcast$lower <- ts(fcast$lower, frequency = tspx[3], start = tspx[2] + 1 / tspx[3])
    fcast$upper <- ts(fcast$upper, frequency = tspx[3], start = tspx[2] + 1 / tspx[3])
    colnames(fcast$lower) <- colnames(fcast$upper) <- paste0(level, "%")
    fcast$residuals <- fcast$fitted <- ts(rep(NA, nrow(object$y)))
    fcast$residuals[((1 - nrow(vres)):0) + length(fcast$residuals)] <- vres[, j]
    fcast$fitted[((1 - nrow(vfits)):0) + length(fcast$fitted)] <- vfits[, j]
    fcast$method <- method
    fcast$level <- level
    fcast$x <- object$y[, j]
    fcast$series <- colnames(object$y)[j]
    tsp(fcast$residuals) <- tsp(fcast$fitted) <- tspx
    fcast <- structure(fcast, class = "forecast")
    out$forecast[[j]] <- fcast
    j <- j + 1
  }
  names(out$forecast) <- names(pr$fcst)
  out$method <- rep(method, object$K)
  names(out$forecast) <- names(out$method) <- names(pr$fcst)
  return(structure(out, class = "mforecast"))
}