predict.DSFM1D: Predict Method for One-Dimensional DSFM Fits

In MarcGumowski/dysefamor: Estimation Algorithm of Dynamic Semiparametric Factor Model

Description

Predicted values based on DSFM object using Vector Autoregressive Processes (VAR(p)).

Usage

## S3 method for class 'DSFM1D'
predict(object, nAhead = 12, p = 1, ...)

Arguments

object	an object of class "DSFM1D".
nAhead	the number of steps ahead for which prediction is required.
p	the order of the Vector Autoregressive Process to be fitted.
...	other parameters to be passed through the VAR and predict.varest functions.

Details

This function makes uses of package vars to fit and predict VAR(p) processes, before pluging in the predicted factor loadings in the DSFM. The factors functions are interpolated by approx.

Value

predict.DSFM1D returns an object of class "predict.DSFM1D". This class is a list containing:

YHatForecast	the forecasted responses.
YHatForecastMatrix	the forecasted responses in a more usual format.
ZHatForecast	the predicted factors loadings.
nAhead	the number of steps ahead.

References

Bernhard Pfaff (2008). VAR, SVAR and SVEC Models: Implementation Within R Package vars. In: Journal of Statistical Software 27(4). URL http://www.jstatsoft.org/v27/i04/.

See Also

VAR,predict.varest, DSFM, DSFM1D,DSFM1DData.

MarcGumowski/dysefamor documentation built on May 7, 2019, 2:47 p.m.