REGtspred function

Prediction of a fitted regression model with time series errors

Perform prediction of a REGts model

REGtspred(model,newxt,h=1,orig=0)

Arguments

• model: An output of the REGts command for a vector time series with exogenous variables
• newxt: The new data matrix of the exogenous variables. It must be of the same dimension as the original exogenous variables and of length at least h (the forecast horizon).
• orig: The forecast origin. The default is zero indicating that the origin is the last observation.
• h: The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1.

Details

Perform prediction of a fitted REGts model

Returns

• pred: Forecasts

• se.err: Standard errors of forecasts

• rmse: Root mean squares of forecast errors

• rmse: Root mean squared forecast errors

• orig: Return the forecast origin

References

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

Author(s)

Ruey S. Tsay