Kronpred: Prediction of a fitted VARMA model via Kronfit, using...

In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Prediction of a fitted VARMA model via Kronfit, using Kronecker indices

Description

Compute forecasts of a fitted VARMA model via the command Kronfit

Usage

Kronpred(model,orig=0,h=1)

Arguments

model	A model fitted by the Kronfit command
orig	Forecast origin. The default is 0, implying that the origin is the last observation
h	Forecast horizon. Default is h=1, 1-step ahead forecast

Details

For a model, which is the output of the command Kronfit, the command computes forecasts of the model starting at the forecast origin. !-step to h-step ahead forecasts are computed.

Value

pred	Forecasts
se.err	Standard errors of the forecasts
orig	Return the forecast origin

Author(s)

Ruey S. Tsay

References

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications, John Wiley, Hoboken, New Jersey

d-/MTS documentation built on June 12, 2022, 12:50 a.m.