NewVAReventRealization function

Generates a new realization of a VAR model

NewVAReventRealization(var, xprev, noise, exogen = NULL, B = NULL)

Arguments

• var: A VAR model represented by a varest object as returned by getVARmodel or VAR
• xprev: previous status of the random variable
• noise: uncorrelated or white noise (residual). Default is rnorm(length(xprev)) (or rnorm(ncol(B))
• exogen: vector containing the values of the "exogen" variables (predictor) for the generation
• B: matrix of coefficients for the vectorial white-noise component

Returns

a vector of values

See Also

forecastEV,forecastResidual

Author(s)

Emanuele Cordano, Emanuele Eccel