recursiveforecast {bigtime} R Documentation

## Recursively Forecasts a VAR

### Description

Recursively forecasts a VAR estimated using sparseVAR. lambda can either be NULL, in which case all lambdas that were used for model estimation are used for forecasting, or a single value, in which case only the model using this lambda will be used for forecasting.

### Usage

recursiveforecast(mod, h = 1, lambda = NULL)


### Arguments

 mod VAR model estimated using sparseVAR h Desired forecast horizon. Default is h=1. lambda Either NULL in which case a forecast will be made for all lambdas for which the model was estimated, or a single value in which case a forecast will only be made for the model using this lambda. Choice is redundant if the model was estimated using a selection procedure.

### Value

Returns an object of S3 class bigtime.recursiveforecast containing

 fcst Matrix or 3D array of forecasts h Selected forecast horizon lambda List of lambdas for which the forecasts were made Y Data used for recursive forecasting

### Examples

sim_data <- simVAR(periods=200, k=5, p=5, seed = 12345)
summary(sim_data)
mod <- sparseVAR(Y=scale(sim_data$Y), selection = "bic") is.stable(mod) fcst_recursive <- recursiveforecast(mod, h = 4) plot(fcst_recursive, series = "Y1") fcst_direct <- directforecast(mod) fcst_direct fcst_recursive$fcst


[Package bigtime version 0.2.1 Index]