cond.predict: Conditional Forecasts
In mboeck11/BTSM: Bayesian Time Series Models

cond.predict

R Documentation

Conditional Forecasts

Description

Conditional Forecasts

Usage

cond.predict(constr, bvar.obj, pred.obj, constr_sd=NULL, verbose=TRUE)

Arguments

`constr`	a matrix containing the conditional forecasts of size horizon times K, where horizon corresponds to the forecast horizon specified in `pred.obj`, while K is the number of variables in the system. The ordering of the variables have to correspond the ordering of the variables in the system. Rest is just set to NA.
`bvar.obj`	an item fitted by `bvar`.
`pred.obj`	an item fitted by `predict`. Note that `save.store=TRUE` is required as argument!
`constr_sd`	a matrix containing the standard deviations around the conditional forecasts. Must have the same size as `constr`.
`verbose`	If set to `FALSE` it suppresses printing messages to the console.

Details

Conditional forecasts need a fully identified system. Therefore this function utilizes short-run restrictions via the Cholesky decomposition on the global solution of the variance-covariance matrix of the Bayesian VAR.

mboeck11/BTSM documentation built on Oct. 9, 2022, 9:14 p.m.