directforecast: Function to obtain h-step ahead direct forecast based on...

In YiHou98/bigtime: Sparse Estimation of Large Time Series Models

Description

Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model

Usage

directforecast(fit, model, h = 1)

Arguments

fit	Fitted sparse VAR, VARX or VARMA model.
model	Type of model that was estimated: VAR, VARX or VARMA.
h	Desired forecast horizon.

Value

Vector of length k containing the h-step ahead forecasts for the k time series.

Examples

data(Y)
VARfit <- sparseVAR(Y) # sparse VAR
VARforecast <- directforecast(fit=VARfit, model="VAR", h=1)

YiHou98/bigtime documentation built on Dec. 18, 2021, 7:26 p.m.