VARpred {MTS}

VAR Prediction

Description

Computes the forecasts of a VAR model, the associated standard errors of forecasts and the mean squared errors of forecasts

Usage

VARpred(model, h = 1, orig = 0, Out.level = FALSE, output = TRUE)

Arguments

model

An output object of a VAR or refVAR command

h

Forecast horizon, a positive integer

orig

Forecast origin. Default is zero meaning the forecast origin is the last data point

Out.level

Boolean control for details of output

output

Boolean control for printing forecast results

Details

Computes point forecasts and the associated variances of forecast errors

Value

pred

Point predictions

se.err

Standard errors of the predictions

mse

Mean-square errors of the predictions

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Examples

data("mts-examples",package="MTS")
gdp=log(qgdp[,3:5])
zt=diffM(gdp)
m1=VAR(zt,p=2)
VARpred(m1,4)