R/preditc.HDeconometricsVAR.R

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

#' Functions for HDeconometricsVAR objects
#'
#' Functions for HDeconometricsVAR objects
#'
#' @param object HDeconometricsVAR object generated by the functions lbvar or HDvar.
#' @param h Forecasting horizon. If h=0 returns the fitted values.
#' @param newdata Exogenous variables to compute the predictions. If the model has exogenous controls (xreg) newdata must be supplied.
#' @param type equation to extract coefficients by equation and block to extract blocks like cons. lags and xreg coefficients.
#' @param ... Arguments for other methods.
#' @export
#' @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
#'
#' @references
#' Garcia, Medeiros and Vasconcelos (2017).
#' @seealso \code{\link{HDvar}}, \code{\link{lbvar}}


predict.HDeconometricsVAR=function(object,h=0,newdata=NULL,...){
  if(h==0){
    return(fitted(object))
  }

  p = object$p
  b = t(object$coef.by.equation)
  aux = stats::embed(object$Y, p)
  aux = aux[nrow(aux), ]
  N = ncol(object$Y)
  prev.store = matrix(NA, h, N)
  exog=length(object$xreg)

  if(!is.matrix(newdata) & exog!=0){
    newdata=as.matrix(newdata)
  }

  for (i in 1:h) {
    if(exog>0){
      prev = c(1, aux,newdata[i,]) %*% b
    }else{
      prev = c(1, aux) %*% b
    }
    prev.store[i, ] = prev
    aux = c(prev, head(aux, length(aux) - N))
  }
  final.prediction = prev.store
  colnames(final.prediction) = colnames(object$Y)
  return(final.prediction)

}

#' @rdname predict.HDeconometricsVAR
#' @export
coef.HDeconometricsVAR=function(object,type="equation",...){
  if(type=="equation") return(object$coef.by.equation)
  if(type=="block") return(object$coef.by.block)
}