compute_forecasts

This function computes forecasts for a given VAR.

A wrapper for sparse VAR (Vector Autoregression) and
VECM (Vector Error Correction Model) time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Basu and Michailidis (2015)
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

sparsevar

Sparse VAR (Vector Autoregression) / VECM (Vector Error
Correction Model) Estimation

compute_forecasts function

<dl><dt>v</dt>
<dd>a VAR object as from fitVAR.</dd>
<dt>num_steps</dt>
<dd>the number of forecasts to produce.</dd></dl>

Arguments

Computes forecasts for VARs — compute_forecasts

<dl>

<dt>v</dt>
<dd>a VAR object as from fitVAR.</dd>


<dt>num_steps</dt>
<dd>the number of forecasts to produce.</dd>

</dl>

compute_forecasts: Computes forecasts for VARs

Description

Usage

Value

Arguments