Kronpred {MTS}

Prediction of a fitted VARMA model via Kronfit, using Kronecker indices

Description

Compute forecasts of a fitted VARMA model via the command Kronfit

Usage

Kronpred(model,orig=0,h=1)

Arguments

model

A model fitted by the Kronfit command

orig

Forecast origin. The default is 0, implying that the origin is the last observation

h

Forecast horizon. Default is h=1, 1-step ahead forecast

Details

For a model, which is the output of the command Kronfit, the command computes forecasts of the model starting at the forecast origin. !-step to h-step ahead forecasts are computed.

Value

pred

Forecasts

se.err

Standard errors of the forecasts

orig

Return the forecast origin

Author(s)

Ruey S. Tsay

References

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications, John Wiley, Hoboken, New Jersey