MTS: VARpred – R documentation

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VARpred

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)

`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

Computes point forecasts and the associated variances of forecast errors

`pred`	Point predictions
`se.err`	Standard errors of the predictions
`mse`	Mean-square errors of the predictions

Ruey S. Tsay

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

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

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8