VAR.etp (version 1.1)

VAR.FOR: VAR Forecasting

Description

Generate point forecasts and prediction intervals

Usage

VAR.FOR(x, p, h, type = "const", alpha = 0.95)

Value

Intervals

Prediction Intervals, out-of-sample and dynamic

Forecast

Point Forecasts, out-of-sample and dynamic

alpha

Probability Content of Prediction Interva;s

Arguments

x

data matrix in column

p

VAR order

h

Forecasting Periods

type

"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

alpha

100(1-alpha) percent prediction intervals

Author

Jae H. Kim

Details

Prediction Intervals are based on normal approximation

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples

#replicating Section 3.5.3 of Lutkepohl (2005)
data(dat)
VAR.FOR(dat,p=2,h=10,type="const",alpha=0.95)