shrinkTVPVAR (version 0.1.1)

forecast_shrinkTVPVAR: Draw from posterior predictive density of a fitted TVP-VAR-SV model

Description

forecast_shrinkTVPVAR draws from the posterior predictive distribution of a fitted TVP-VAR-SV model resulting from a call to shrinkTVPVAR.

Usage

forecast_shrinkTVPVAR(mod, n.ahead = 1)

Value

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

Arguments

mod

an object of class shrinkTVPVAR, containing the fitted model.

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: fitted.shrinkTVPVAR()

Examples

# \donttest{
set.seed(123)
sim <- simTVPVAR(p = 2)
data <- sim$data

res <- shrinkTVPVAR(data, p = 2)
forc <- forecast_shrinkTVPVAR(res, n.ahead = 4)

# Visualize forecast
plot(forc)
# }