recursiveforecast function

Recursively Forecasts a VAR

Recursively forecasts a VAR estimated using sparseVAR. lambda can either be NULL, in which case all lambdas that were used for model estimation are used for forecasting, or a single value, in which case only the model using this lambda will be used for forecasting.

recursiveforecast(mod, h = 1, lambda = NULL)

Arguments

• mod: VAR model estimated using sparseVAR
• h: Desired forecast horizon. Default is h=1.
• lambda: Either NULL in which case a forecast will be made for all lambdas for which the model was estimated, or a single value in which case a forecast will only be made for the model using this lambda. Choice is redundant if the model was estimated using a selection procedure.

Returns

Returns an object of S3 class bigtime.recursiveforecast containing - fcst: Matrix or 3D array of forecasts

• h: Selected forecast horizon

• lambda: List of lambdas for which the forecasts were made

• Y: Data used for recursive forecasting

Examples

sim_data <- simVAR(periods=200, k=5, p=5, seed = 12345)
summary(sim_data)
mod <- sparseVAR(Y=scale(sim_data$Y), selection = "bic")
is.stable(mod)
fcst_recursive <- recursiveforecast(mod, h = 4)
plot(fcst_recursive, series = "Y1")
fcst_direct <- directforecast(mod)
fcst_direct
fcst_recursive$fcst