predict.gsmvar: Predict method for class 'gsmvar' objects

Description

predict.gsmvar is a predict method for class 'gsmvar' objects. The forecasts of the GMVAR, StMVAR, and G-StMVAR models are computed by performing independent simulations and using the sample medians or means as point forecasts and empirical quantiles as prediction intervals. For one-step-ahead predictions using the exact conditional mean is also supported.

Usage

# S3 method for gsmvar
predict(
  object,
  ...,
  n_ahead,
  nsim = 2000,
  pi = c(0.95, 0.8),
  pi_type = c("two-sided", "upper", "lower", "none"),
  pred_type = c("median", "mean", "cond_mean"),
  plot_res = TRUE,
  mix_weights = TRUE,
  nt
)

Value

Returns a class 'gsmvarpred' object containing, among the specifications,...

$pred: Point forecasts
$pred_int: Prediction intervals, as [, , d].
$mix_pred: Point forecasts for the mixing weights
mix_pred_int: Individual prediction intervals for mixing weights, as [, , m], m=1,..,M.

Arguments

object: an object of class 'gsmvar', typically created with fitGSMVAR or GSMVAR.
...: additional arguments passed to grid (ignored if plot_res==FALSE) which plots grid to the figure.
n_ahead: how many steps ahead should be predicted?
nsim: to how many independent simulations should the forecast be based on?
pi: a numeric vector specifying the confidence levels of the prediction intervals.
pi_type: should the prediction intervals be "two-sided", "upper", or "lower"?
pred_type: should the prediction be based on sample "median" or "mean"? Or should it be one-step-ahead forecast based on the exact conditional mean ("cond_mean")? Prediction intervals won't be calculated if the exact conditional mean is used.
plot_res: should the results be plotted?
mix_weights: TRUE if forecasts for mixing weights should be plotted, FALSE in not.
nt: a positive integer specifying the number of observations to be plotted along with the prediction (ignored if plot_res==FALSE). Default is round(nrow(data)*0.15).

References

Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime. Journal of Business & Economic Statistics.
Virolainen S. 2022. Gaussian and Student's t mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks in the Euro area. Unpublished working paper, available as arXiv:2109.13648.

@keywords internal

Examples

Run this code

# GMVAR(2, 2), d=2 model
params22 <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
 0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
  0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58)
mod22 <- GSMVAR(gdpdef, p=2, M=2, d=2, params=params22)
p1 <- predict(mod22, n_ahead=10, pred_type="median", nsim=500)
p1
p2 <- predict(mod22, n_ahead=10, nt=20, lty=1, nsim=500)
p2
p3 <- predict(mod22, n_ahead=10, pi=c(0.99, 0.90, 0.80, 0.70),
              nt=30, lty=0, nsim=500)
p3

# StMVAR(2, 2), d=2 model
params22t <- c(0.36, 0.121, 0.223, 0.059, -0.151, 0.395, 0.406, -0.005,
 0.083, 0.299, 0.215, 0.002, 0.03, 0.484, 0.072, 0.218, 0.02, -0.119,
  0.722, 0.093, 0.032, 0.044, 0.191, 1.101, -0.004, 0.105, 0.58, 3, 4)
mod22t <- GSMVAR(gdpdef, p=2, M=2, d=2, params=params22t, model="StMVAR")
p1 <- predict(mod22t, n_ahead=12, pred_type="median", nsim=500, pi=0.9)
p1