forecast {BGVAR}R Documentation

Compute forecasts

Description

A function that computes forecasts based on a GVAR object.

Usage

fcast(gvar.obj,h=0,fhorz=8)

Arguments

gvar.obj

An objected fitted by function bgvar.

h

For out-of-sample forecasts, set h to zero, otherwise the function will cut h observations from the sample which can be used later on to evaluate the forecast accuracy in a pseudo-out-of-sample exercise.

fhorz

The forecast horizon.

Value

Author(s)

Martin Feldkircher and Florian Huber

Examples

library(BGVAR)
data(eerData)
model.sims<-bgvar(Data=eer.data,W=W.trade0012,saves=100,burns=100,plag=1,Cpu=4,prior="SIMS",save_thin=1,eigen=TRUE,logfile=FALSE,stats=TRUE)

fcastM<-fcast(model.sims,h=0,fhorz=8)


[Package BGVAR version 1.1.3 Index]