fnets (version 0.1.6)

idio.predict: Forecasting idiosyncratic VAR process

Description

Produces forecasts of the idiosyncratic VAR process for a given forecasting horizon by estimating the best linear predictors

Usage

idio.predict(object, x, cpre, n.ahead = 1)

Value

a list containing

is

in-sample estimator of the idiosyncratic component (with each column representing a variable)

fc

forecasts of the idiosyncratic component for a given forecasting horizon h (with each column representing a variable)

n.ahead

forecast horizon

Arguments

object

fnets object

x

input time series, with each row representing a variable

cpre

output of common.predict

n.ahead

forecast horizon

Examples

if (FALSE) {
out <- fnets(data.unrestricted,
do.lrpc = FALSE, var.args = list(n.cores = 2))
cpre <- common.predict(out)
ipre <- idio.predict(out, cpre)
}