VARpred function

VAR Prediction

Computes the forecasts of a VAR model, the associated standard errors of forecasts and the mean squared errors of forecasts

VARpred(model, h = 1, orig = 0, Out.level = FALSE, output = TRUE)

Arguments

• model: An output object of a VAR or refVAR command
• h: Forecast horizon, a positive integer
• orig: Forecast origin. Default is zero meaning the forecast origin is the last data point
• Out.level: Boolean control for details of output
• output: Boolean control for printing forecast results

Details

Computes point forecasts and the associated variances of forecast errors

Returns

• pred: Point predictions

• se.err: Standard errors of the predictions

• mse: Mean-square errors of the predictions

References

Tsay (2014, Chapter 2). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

Examples

data("mts-examples",package="MTS")
gdp=log(qgdp[,3:5])
zt=diffM(gdp)
m1=VAR(zt,p=2)
VARpred(m1,4)