predict.HDeconometricsVAR: Functions for HDeconometricsVAR objects

In gabrielrvsc/HDeconometrics: Implementation of several econometric models in high-dimension.

Description

Functions for HDeconometricsVAR objects

Usage

## S3 method for class 'HDeconometricsVAR'
predict(object, h = 0, newdata = NULL, ...)

## S3 method for class 'HDeconometricsVAR'
coef(object, type = "equation", ...)

Arguments

object	HDeconometricsVAR object generated by the functions lbvar or HDvar.
h	Forecasting horizon. If h=0 returns the fitted values.
newdata	Exogenous variables to compute the predictions. If the model has exogenous controls (xreg) newdata must be supplied.
...	Arguments for other methods.
type	equation to extract coefficients by equation and block to extract blocks like cons. lags and xreg coefficients.

References

Garcia, Medeiros and Vasconcelos (2017).

See Also

HDvar, lbvar

Examples

## == This example uses the Brazilian inflation data from
#Garcia, Medeiros and Vasconcelos (2017) == ##
data("BRinf")
Y=BRinf[,1:59]# remove expectation variables

modelB=lbvar(Y,p=4)
predict(modelB,h=10)

# take a look at the coefficients
eq=coef(modelB,type="equation")
block=coef(modelB,type="block")
block$Lag1

gabrielrvsc/HDeconometrics documentation built on April 28, 2020, 7:12 a.m.