BGVAR (version 2.1.5)

predict: Predictions

Description

A function that computes predictions based on a object of class bgvar.

Usage

# S3 method for bgvar
predict(object, ..., n.ahead = 1, save.store = FALSE, verbose = TRUE)

Arguments

object

an object of class bgvar.

...

additional arguments.

n.ahead

the forecast horizon.

save.store

If set to TRUE the full distribution is returned. Default is set to FALSE in order to save storage.

verbose

If set to FALSE it suppresses printing messages to the console.

Value

Returns an object of class bgvar.pred with the following elements

• fcast is a K times n.ahead times 5-dimensional array that contains 16%th, 25%th, 50%th, 75%th and 84% percentiles of the posterior predictive distribution.

• xglobal is a matrix object of dimension T times N (T # of observations, K # of variables in the system).

• n.ahead specified forecast horizon.

• lps.stats is an array object of dimension K times 2 times n.ahead and contains the mean and standard deviation of the log-predictive scores for each variable and each forecast horizon.

• hold.out if h is not set to zero, this contains the hold-out sample.

Examples

# NOT RUN {
library(BGVAR)
data(eerDatasmall)
model.ssvs <- bgvar(Data=eerDatasmall,W=W.trade0012.small,plag=1,draws=100,burnin=100,
                    prior="SSVS")
fcast <- predict(model.ssvs, n.ahead=8)
# }