| REGtspred {MTS} | R Documentation |
Prediction of a fitted regression model with time series errors
Description
Perform prediction of a REGts model
Usage
REGtspred(model,newxt,h=1,orig=0)
Arguments
model |
An output of the REGts command for a vector time series with exogenous variables |
newxt |
The new data matrix of the exogenous variables. It must be of the same dimension as the original exogenous variables and of length at least h (the forecast horizon). |
orig |
The forecast origin. The default is zero indicating that the origin is the last observation. |
h |
The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1. |
Details
Perform prediction of a fitted REGts model
Value
pred |
Forecasts |
se.err |
Standard errors of forecasts |
rmse |
Root mean squares of forecast errors |
rmse |
Root mean squared forecast errors |
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, NJ.