VARXpred function

VARX Model Prediction

Computes point forecasts of a VARX model. The values of exogenous variables must be given.

VARXpred(m1, newxt = NULL, hstep = 1, orig = 0)

Arguments

• m1: An output object of VARX or refVARX command
• newxt: The data matrix of exogenous variables needed in forecasts.
• hstep: Forecast horizon
• orig: Forecast origin. Default is 0, meaning the last data point.

Details

Uses the provided exogenous variables and the model to compute forecasts

Returns

Point forecasts and their standard errors

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay