Kronpred function

Prediction of a fitted VARMA model via Kronfit, using Kronecker indices

Compute forecasts of a fitted VARMA model via the command Kronfit

Kronpred(model,orig=0,h=1)

Arguments

• model: A model fitted by the Kronfit command
• orig: Forecast origin. The default is 0, implying that the origin is the last observation
• h: Forecast horizon. Default is h=1, 1-step ahead forecast

Details

For a model, which is the output of the command Kronfit, the command computes forecasts of the model starting at the forecast origin. !-step to h-step ahead forecasts are computed.

Returns

• pred: Forecasts

• se.err: Standard errors of the forecasts

• orig: Return the forecast origin

References

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications, John Wiley, Hoboken, New Jersey

Author(s)

Ruey S. Tsay