idio.predict function

Forecasting idiosyncratic VAR process

Produces forecasts of the idiosyncratic VAR process for a given forecasting horizon by estimating the best linear predictors

idio.predict(object, x, cpre, n.ahead = 1)

Arguments

• object: fnets object
• x: input time series, with each row representing a variable
• cpre: output of common.predict
• n.ahead: forecast horizon

Returns

a list containing - is: in-sample estimator of the idiosyncratic component (with each column representing a variable)

• fc: forecasts of the idiosyncratic component for a given forecasting horizon h (with each column representing a variable)

• n.ahead: forecast horizon

Examples

## Not run:

out <- fnets(data.unrestricted,
do.lrpc = FALSE, var.args = list(n.cores = 2))
cpre <- common.predict(out)
ipre <- idio.predict(out, cpre)
## End(Not run)