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Generate point forecasts and prediction intervals
VAR.FOR(x, p, h, type = "const", alpha = 0.95)
Prediction Intervals, out-of-sample and dynamic
Point Forecasts, out-of-sample and dynamic
Probability Content of Prediction Interva;s
data matrix in column
VAR order
Forecasting Periods
"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend
100(1-alpha) percent prediction intervals
Jae H. Kim
Prediction Intervals are based on normal approximation
Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer
#replicating Section 3.5.3 of Lutkepohl (2005) data(dat) VAR.FOR(dat,p=2,h=10,type="const",alpha=0.95)
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