REGtspred: Prediction of a fitted regression model with time series...

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

Prediction of a fitted regression model with time series errors

Description

Perform prediction of a REGts model

Usage

REGtspred(model,newxt,h=1,orig=0)

Arguments

model	An output of the REGts command for a vector time series with exogenous variables
newxt	The new data matrix of the exogenous variables. It must be of the same dimension as the original exogenous variables and of length at least h (the forecast horizon).
orig	The forecast origin. The default is zero indicating that the origin is the last observation.
h	The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1.

Details

Perform prediction of a fitted REGts model

Value

pred	Forecasts
se.err	Standard errors of forecasts
rmse	Root mean squares of forecast errors
rmse	Root mean squared forecast errors
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, NJ.

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