NewVAReventRealization {RMAWGEN}

Generates a new realization of a VAR model

Description

Generates a new realization of a VAR model

Usage

NewVAReventRealization(var, xprev, noise, exogen = NULL, B = NULL)

Arguments

var

A VAR model represented by a varest object as returned by getVARmodel or VAR

xprev

previous status of the random variable

noise

uncorrelated or white noise (residual). Default is rnorm(length(xprev)) (or rnorm(ncol(B))

exogen

vector containing the values of the "exogen" variables (predictor) for the generation

B

matrix of coefficients for the vectorial white-noise component

Value

a vector of values

Author(s)

Emanuele Cordano, Emanuele Eccel

See Also

forecastEV,forecastResidual