VAR.etp (version 0.7)

VAR.Fore: VAR Forecasting

Description

Generate point forecasts using the estimated VAR coefficient matrix

Usage

VAR.Fore(x, b, p, h, type = "const")

Arguments

x

data matrix in column

b

matrix of coefficients from VAR.est or VAR.Rest

p

VAR order

h

Forecasting Periods

type

"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

Fore

Point Forecasts, out-of-sample and dynamic

Details

Generate point forecasts using the estimated VAR coefficient matrix

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples

#replicating Section 3.5.3 of Lutkepohl (2005)
data(dat)
b=VAR.est(dat,p=2,type="const")$coef
VAR.Fore(dat,b,p=2,h=10,type="const")

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