shrinkTVP (version 3.0.1)

forecast_shrinkTVP: Draw from posterior predictive density of a fitted TVP model

Description

forecast_shrinkTVP draws from the posterior predictive distribution of a fitted TVP model resulting from a call to shrinkTVP.

Usage

forecast_shrinkTVP(mod, newdata, n.ahead)

Value

The value returned is a list object of class shrinkTVP_forc containing the samples from the posterior predictive density.

Arguments

mod

an object of class shrinkTVP, containing the fitted model.

newdata

a data frame containing the future covariates. The names of the covariates have to match the names used during model estimation in the call to shrinkTVP.

n.ahead

a single, positive integer indicating the forecasting horizon, i.e. how many time-points into the future the posterior predictive distribution should be sampled from. Can not be larger than the number of rows in newdata.

Author

Peter Knaus

See Also

Other prediction functions: LPDS(), eval_pred_dens(), fitted.shrinkTVP(), predict.shrinkTVP(), residuals.shrinkTVP()

Examples

# \donttest{
# Simulate data
set.seed(123)
sim <- simTVP(theta = c(0.2, 0, 0), beta_mean = c(1.5, -0.3, 0))
data <- sim$data

# Estimate model
res <- shrinkTVP(y ~ x1 + x2, data = data[1:190, ])

# Forecast
forc <- forecast_shrinkTVP(res, data[191:200, ])

# Plot
plot(forc)
# }