forecast function

Forecasting using Structural Vector Autoregression

Samples from the joint predictive density of all of the dependent variables for models from packages bsvars, bsvarSIGNs or bvarPANELs at forecast horizons from 1 to horizon specified as an argument of the function.

forecast(posterior, horizon = 1, exogenous_forecast, conditional_forecast)

Arguments

• posterior: posterior estimation outcome obtained by running the estimate function.
• horizon: a positive integer, specifying the forecasting horizon.
• exogenous_forecast: forecasted values of the exogenous variables.
• conditional_forecast: forecasted values for selected variables.

Returns

A list of class Forecasts containing the draws from the predictive density and for heteroskedastic models the draws from the predictive density of structural shocks conditional standard deviations and data. The output elements include:

• forecasts: an NxTxS array with the draws from predictive density
• forecasts_sigma: provided only for heteroskedastic models, an NxTxS array with the draws from the predictive density of structural shocks conditional standard deviations
• Y: an $NxT$ matrix with the data on dependent variables

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
set.seed(123)
specification  = specify_bsvar$new(us_fiscal_lsuw, p = 1)

# run the burn-in
burn_in        = estimate(specification, 5)

# estimate the model
posterior      = estimate(burn_in, 10)

# sample from predictive density 1 year ahead
predictive     = forecast(posterior, 4)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar$new(p = 1) |>
  estimate(S = 5) |> 
  estimate(S = 10) |> 
  forecast(horizon = 4) -> predictive

# conditional forecasting using a model with exogenous variables
############################################################
data(us_fiscal_ex_forecasts)      # upload exogenous variables future values
data(us_fiscal_cond_forecasts)    # upload a matrix with projected ttr

#' set.seed(123)
specification  = specify_bsvar$new(us_fiscal_lsuw, p = 1, exogenous = us_fiscal_ex)
burn_in        = estimate(specification, 5)
posterior      = estimate(burn_in, 10)

# forecast 2 years ahead
predictive     = forecast(
                    posterior, 
                    horizon = 8,
                    exogenous_forecast = us_fiscal_ex_forecasts,
                    conditional_forecast = us_fiscal_cond_forecasts
                  )
summary(predictive)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar$new(p = 1, exogenous = us_fiscal_ex) |>
  estimate(S = 5) |> 
  estimate(S = 10) |> 
  forecast(
    horizon = 8,
    exogenous_forecast = us_fiscal_ex_forecasts,
    conditional_forecast = us_fiscal_cond_forecasts
  ) |> plot()

Author(s)

Tomasz Woźniak wozniak.tom@pm.me