VARXpred: VARX Model Prediction
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
VARXpred R Documentation
VARX Model Prediction
Description
Computes point forecasts of a VARX model. The values of
exogenous variables must be given.
Usage
VARXpred(m1, newxt = NULL, hstep = 1, orig = 0)
Arguments
m1
An output object of VARX or refVARX command
newxt
The data matrix of exogenous variables needed in forecasts.
hstep
Forecast horizon
orig
Forecast origin. Default is 0, meaning the last data point.
Details
Uses the provided exogenous variables and the model to
compute forecasts
Value
Point forecasts and their standard errors
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). 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.
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| VARXpred | R Documentation |
VARX Model Prediction
Description
Computes point forecasts of a VARX model. The values of exogenous variables must be given.
Usage
VARXpred(m1, newxt = NULL, hstep = 1, orig = 0)
Arguments
m1 |
An output object of VARX or refVARX command |
newxt |
The data matrix of exogenous variables needed in forecasts. |
hstep |
Forecast horizon |
orig |
Forecast origin. Default is 0, meaning the last data point. |
Details
Uses the provided exogenous variables and the model to compute forecasts
Value
Point forecasts and their standard errors
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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