predict.fm {fnets}

Forecasting for factor models

Description

Produces forecasts of the data input to object for a given forecasting horizon by estimating the best linear predictors of the common component

Usage

## S3 method for class 'fm'
predict(object, n.ahead = 1, fc.restricted = TRUE, r = c("ic", "er"), ...)

Arguments

object

fm object

n.ahead

forecasting horizon

fc.restricted

if fc.restricted = TRUE, the forecast is generated under a restricted factor model

r

number of static factors, or a string specifying the factor number selection method when fc.restricted = TRUE; possible values are:

"ic"

information criteria of Alessi, Barigozzi & Capasso (2010)

"er"

eigenvalue ratio of Ahn & Horenstein (2013)

...

not used

Value

a list containing

is

in-sample predictions

forecast

forecasts for the given forecasting horizon

r

factor number

See Also

fnets.factor.model

Examples

out <- fnets.factor.model(data.restricted, fm.restricted = TRUE)
pre <- predict(out)