MSBVAR (version 0.7-0)

plot.forc.ecdf: Plots VAR forecasts and their empirical error bands

Description

Plots mean VAR forecasts and pointwise error bands

Usage

## S3 method for class 'forc.ecdf':
plot(x, probs = c(0.05, 0.95),
               xlab = "", ylab = "", ylim = NA, ...)

Value

None.

Details

Plots the mean forecast and the pointwise empirical confidence region for a posterior sample of VAR forecasts.

See Also

plot.forecast

Examples

data(IsraelPalestineConflict)

# Fit a BVAR model
fit.BVAR <- szbvar(IsraelPalestineConflict, p=6, z=NULL, lambda0=0.6,
                   lambda1=0.1, lambda3=2, lambda4=0.5, lambda5=0,
                   mu5=0, mu6=0, nu=3, qm=4, prior=0,
                   posterior.fit=FALSE)

# Generate unconditional forecasts for both models
forecast.BVAR <- uc.forecast(fit.BVAR, nsteps=12,
                                 burnin=100, gibbs=1000)

# Plot the forecasts
par(mfrow=c(2,1))

plot(forecast.BVAR$forecast[,,1], probs=c(0.16,0.84),
               main="I2P Forecast")
abline(h=0)

plot(forecast.BVAR$forecast[,,2], probs=c(0.16,0.84),
               main="P2I Forecast")
abline(h=0)