View source: R/directforecast.R
directforecast | R Documentation |
Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model
directforecast(fit, h = 1)
fit |
Fitted sparse VAR, VARX or VARMA model. |
h |
Desired forecast horizon. Default is h=1. |
Vector of length k containing the h-step ahead forecasts for the k time series.
data(var.example)
VARfit <- sparseVAR(Y=scale(Y.var), selection = "cv") # sparse VAR
VARforecast <- directforecast(fit=VARfit, h=1)
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