| VARXpred {MTS} | R Documentation |
VARX Model Prediction
Description
Computes point forecasts of a VARX model. The values of exogenous variables must be given.
Usage
VARXpred(m1, newxt = NULL, hstep = 1, orig = 0)
Arguments
m1 |
An output object of VARX or refVARX command |
newxt |
The data matrix of exogenous variables needed in forecasts. |
hstep |
Forecast horizon |
orig |
Forecast origin. Default is 0, meaning the last data point. |
Details
Uses the provided exogenous variables and the model to compute forecasts
Value
Point forecasts and their standard errors
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
[Package MTS version 1.2.1 Index]