VAR.etp (version 1.1)

VAR.Fore: VAR Forecasting

Description

Generate point forecasts using the estimated VAR coefficient matrix

Usage

VAR.Fore(x, b, p, h, type = "const")

Value

Fore

Point Forecasts, out-of-sample and dynamic

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

Author

Jae H. Kim

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")