ec.predict {cif}R Documentation

produces predictions for the VECM via its VAR companion form

Description

Predicts both in-sample (1 step ahead) and out-of-sample (1 step ahead and dynamic forecasts)

Usage

ec.predict(est, det1, det2, ymat, npl, befpn, ndet, cal, kval = 1.959964)

Arguments

est

output from estimation by ec.EG1.R

det1

deterministic matrix of constant(s) and trend(s)

det2

deterministic matrix of seasonals and point dummies

ymat

matrix of lags

npl

n, p, nlag

befpn

begtrim, endtrim, nforecast, npred, nhstar

ndet

order of the model d(i,j)

cal

calendar, should match the number of rows in ymat

kval

how many se to use, default kval= 1.959964

Value

list with contains: afl (actual and 1 step ahead fitted levels) afd (actual and 1 step ahead fitted differences) fit (1 step ahead fit) dynpred (dynamic predictions) mAt mB (companion matrix and selection of it) Sigmah (Sigmah for dyn forecasts) forstartdate (starting date for dyn forecast) outcal (dates for the prediction) h1star (h1star) cspred (table with change in sign of pred for Dx_1) indexfa (indices of forecast accuracy)

Author(s)

P. Berta, P. Paruolo, S. Verzillo, PG. Lovaglio

References

Berta et al. 2020


[Package cif version 0.0.9 Index]