forecast.PosteriorBSVAR {bsvars}

Forecasting using Structural Vector Autoregression

Description

Samples from the joint predictive density of all of the dependent variables at forecast horizons from 1 to horizon specified as an argument of the function.

Usage

## S3 method for class 'PosteriorBSVAR'
forecast(posterior, horizon, exogenous_forecast = NULL)

Arguments

posterior

posterior estimation outcome - an object of class PosteriorBSVAR obtained by running the estimate function.

horizon

a positive integer, specifying the forecasting horizon.

exogenous_forecast

a matrix of dimension horizon x d containing forecasted values of the exogenous variables.

Value

A list of class Forecasts containing the draws from the predictive density. The output list includes element:

forecasts

an NxTxS array with the draws from predictive density

Author(s)

Tomasz Woźniak [e-mail]

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
set.seed(123)
specification  = specify_bsvar$new(us_fiscal_lsuw, p = 1)

# run the burn-in
burn_in        = estimate(specification, 10)

# estimate the model
posterior      = estimate(burn_in, 20)

# sample from predictive density 1 year ahead
predictive     = forecast(posterior, 4)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar$new(p = 1) |>
  estimate(S = 10) |> 
  estimate(S = 20) |> 
  forecast(horizon = 4) -> predictive