bigtime (version 0.1.0)

directforecast: Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model

Description

Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model

Usage

directforecast(fit, model, h = 1)

Arguments

fit

Fitted sparse VAR, VARX or VARMA model.

model

Type of model that was estimated: VAR, VARX or VARMA.

h

Desired forecast horizon.

Value

Vector of length k containing the h-step ahead forecasts for the k time series.

Examples

# NOT RUN {
data(Y)
VARfit <- sparseVAR(Y) # sparse VAR
VARforecast <- directforecast(fit=VARfit, model="VAR", h=1)
# }