Method for forecasting from an ARFIMA model.
arfimaforecast(fitORspec, data = NULL, n.ahead = 10, n.roll = 0, out.sample = 0,
external.forecasts = list(mregfor = NULL), ...)A ARFIMAforecast object containing details of the ARFIMA
forecast. See the class for details on the returned object and methods for
accessing it and performing some tests.
Either an ARFIMA fit object of class
ARFIMAfit or alternatively an ARFIMA specification object
of class ARFIMAspec with valid parameters supplied via the
fixed.pars argument in the specification.
Required if a specification rather than a fit object is supplied.
The forecast horizon.
The no. of rolling forecasts to create beyond the first one (see details).
Optional. If a specification object is supplied, indicates how many data points to keep for out of sample testing.
A list with a matrix of forecasts for the external regressors in the mean.
.
Alexios Ghalanos
The forecast function has two dispatch methods allowing the user to call it with
either a fitted object (in which case the data argument is ignored), or a
specification object (in which case the data is required) with the parameters
entered via the set.fixed<- methods on an ARFIMAspec
object.
One step ahead forecasts are based on the value of the previous data, while
n-step ahead (n>1) are based on the unconditional mean of the model.
The ability to roll the forecast 1 step at a time is implemented with the
n.roll argument which controls how many times to roll the n.ahead
forecast. The default argument of n.roll = 0 denotes no rolling beyond the first
forecast and returns the standard n.ahead forecast. Critically, since n.roll
depends on data being available from which to base the rolling forecast, the
arfimafit function needs to be called with the argument
out.sample being at least as large as the n.roll argument, or in the case
of a specification being used instead of a fit object, the out.sample
argument directly in the forecast function.