Calculate the historical forecast error for a VAR out to a specified horizon
fe.RdCalculate the historical forecast error for a VAR out to a specified horizon
Examples
x <- svars::USA
v <- vars::VAR(x, p = 2)
fe(v, 10)
#> [,1] [,2] [,3]
#> [1,] NA NA NA
#> [2,] NA NA NA
#> [3,] NA NA NA
#> [4,] NA NA NA
#> [5,] NA NA NA
#> [6,] NA NA NA
#> [7,] NA NA NA
#> [8,] NA NA NA
#> [9,] NA NA NA
#> [10,] 1.75490311 0.44399724 -1.340137717
#> [11,] 2.50252211 0.33266462 -0.844644206
#> [12,] 3.15347249 -0.64372719 -0.478550611
#> [13,] 2.78648353 -1.32657223 -1.005377737
#> [14,] 2.43794475 0.43938122 -0.961628037
#> [15,] 3.42959464 -1.28211643 -0.722802011
#> [16,] 2.78789447 -0.02537531 1.264372032
#> [17,] 1.77221046 1.25237802 3.046685244
#> [18,] 0.15593811 0.99225616 3.484952979
#> [19,] -0.44364490 0.69158080 2.044049750
#> [20,] -0.74198056 0.29064686 0.780228083
#> [21,] -0.56547699 -2.36693284 -0.965662945
#> [22,] -2.23242057 -0.30338363 -2.279866277
#> [23,] -0.60763860 0.93574366 -3.431112506
#> [24,] -0.44719638 -0.43798093 -3.351956062
#> [25,] -0.42696651 -1.41675803 -2.395506993
#> [26,] -0.16741436 -2.08264620 -3.401410132
#> [27,] 1.22082349 0.93041968 -4.816867384
#> [28,] 2.78364119 -2.40027401 -3.365032634
#> [29,] 3.02907315 -0.91652335 -2.792785348
#> [30,] 3.78902924 0.56334941 -2.222805357
#> [31,] 4.50408893 0.88199317 0.362498920
#> [32,] 4.81244872 2.23493277 1.755594604
#> [33,] 3.00815310 2.63206456 3.204812985
#> [34,] 3.18043219 3.13109348 2.757319133
#> [35,] 1.44781880 3.41170838 2.645735461
#> [36,] 0.25426763 6.10280636 5.617557491
#> [37,] -1.62339193 6.91717313 4.987125250
#> [38,] -3.36914782 7.76206676 2.837683617
#> [39,] -5.50871097 4.83569261 -0.088941235
#> [40,] -5.17751919 0.76168973 -2.081263243
#> [41,] -4.07133954 1.62848967 -2.039135672
#> [42,] -2.99982704 0.76869993 -3.379527236
#> [43,] 0.06873899 -2.00576881 -4.897403882
#> [44,] -0.02894317 -2.11910678 -4.478224781
#> [45,] -0.37366599 -0.45805180 -3.609058230
#> [46,] 0.98243404 0.94643732 -5.514811655
#> [47,] 2.44227935 -0.02734176 -6.379836872
#> [48,] 2.92432691 -0.82343738 -5.248432975
#> [49,] 2.53350143 -0.28288617 -2.430886988
#> [50,] 0.74917923 4.83434421 -0.363424858
#> [51,] 0.40013491 1.53049992 -0.816245314
#> [52,] 2.77765306 2.97179052 0.007323847
#> [53,] 1.81335353 2.83189044 1.706555301
#> [54,] 2.04004920 4.93817311 3.598598508
#> [55,] 1.60048446 3.30666681 3.707964088
#> [56,] 1.22299326 5.13079700 2.829026411
#> [57,] 1.06226304 3.80795436 3.486685127
#> [58,] 0.39197464 3.29875248 6.125751457
#> [59,] -0.11465790 3.87404331 7.815739958
#> [60,] -1.70586480 3.28665663 4.075260094
#> [61,] -2.44910188 4.64418891 2.121058728
#> [62,] -1.19208740 5.64507458 6.775643670
#> [63,] 0.37887487 4.69592583 7.831306435
#> [64,] -0.13672079 1.46592762 7.936187789
#> [65,] 0.43729755 1.82504425 8.503592819
#> [66,] -0.78995454 1.52435533 3.681271073
#> [67,] -2.86223995 -0.25578753 4.254822988
#> [68,] -2.20297757 -0.43235171 4.594930309
#> [69,] -2.77446758 0.88109397 1.143719042
#> [70,] -3.97922690 0.15128475 0.842781697
#> [71,] -3.99321501 -1.50484565 0.142175656
#> [72,] 0.41733844 -3.41763984 -3.264276597
#> [73,] 1.21094233 -1.37189470 -1.822949449
#> [74,] 2.38026424 -1.04540292 -0.028995216
#> [75,] 3.19667377 0.68438820 0.690250575
#> [76,] 2.80905551 0.08954574 3.124751076
#> [77,] 3.53809439 0.88174462 4.536344083
#> [78,] 3.48556980 0.91621547 2.880719799
#> [79,] 2.52415514 2.88002951 3.054518476
#> [80,] 2.07765004 0.82828723 2.887135629
#> [81,] 2.22776316 0.91311587 3.232959919
#> [82,] 1.77343276 0.74219907 3.268863335
#> [83,] 2.09203937 -0.41803048 2.023446039
#> [84,] 1.26064438 -0.71845850 1.325779300
#> [85,] 1.44263748 -1.39925502 -0.135420112
#> [86,] 1.16501321 -0.78220506 -0.193880853
#> [87,] 1.12488594 0.13904875 -0.058941558
#> [88,] 0.40287405 0.19355019 1.372731648
#> [89,] 0.64240070 -0.55560124 0.512271046
#> [90,] 1.00597902 0.35181232 1.317820702
#> [91,] 0.50820895 0.20719587 1.129160515
#> [92,] 1.07174217 1.01704342 1.723609679
#> [93,] 0.68310848 2.02431018 2.781689805
#> [94,] 0.82984280 0.70078550 3.811905299
#> [95,] 0.82316165 1.78991817 4.751255117
#> [96,] 1.06213980 1.30450749 4.741216136
#> [97,] 1.25881149 -0.25714621 3.704915563
#> [98,] 0.87333100 -0.44317941 3.005198053
#> [99,] 1.26214795 1.19210928 2.601453615
#> [100,] 0.91929053 0.51501912 2.112218351
#> [101,] 0.06567241 0.03423800 2.313495034
#> [102,] -1.21385524 -0.95687505 1.194300324
#> [103,] -1.88009815 -0.23785353 -0.617424629
#> [104,] -1.94839939 -1.08050584 -0.785780813
#> [105,] -1.75038503 -1.15771579 -1.519773379
#> [106,] -1.91513941 -1.85941990 -2.276678902
#> [107,] -1.97401800 -1.77960347 -2.228784834
#> [108,] -1.77411695 -0.69646235 -2.057344072
#> [109,] -1.29059396 -2.13194710 -3.491221086
#> [110,] -0.88074940 -1.32077203 -3.720571156
#> [111,] -1.46440468 -1.32550209 -3.201431476
#> [112,] -1.65940507 -0.48148868 -2.370380702
#> [113,] -1.96962877 -0.58247479 -2.225698393
#> [114,] -1.61856568 -0.74165699 -2.104681967
#> [115,] -1.46314125 -0.83695851 -1.756228805
#> [116,] -1.23656963 -0.48698488 -0.463752463
#> [117,] -1.84188772 -0.30889114 0.273493448
#> [118,] -1.45294637 -0.74228157 0.480868036
#> [119,] -2.16992398 -0.60260827 1.348568504
#> [120,] -2.57383744 -1.52718691 1.178206443
#> [121,] -2.44374818 -1.17432816 1.216866852
#> [122,] -2.46317740 -1.09101711 1.111837508
#> [123,] -2.51142176 -0.84703301 0.777942448
#> [124,] -1.71846403 -1.53877875 0.614562381
#> [125,] -1.62823622 -1.91077844 0.721040217
#> [126,] -1.19423845 -1.13471001 0.359665178
#> [127,] -1.05032207 -0.60104467 0.381592618
#> [128,] -0.13911680 -2.09338155 0.351004576
#> [129,] 0.56669866 -1.56999859 0.449845565
#> [130,] 0.53879938 -1.30096999 0.808994436
#> [131,] 0.59135289 -1.98895524 0.840999836
#> [132,] 0.71480821 -1.85303210 0.779383351
#> [133,] 1.08316106 -1.25214912 0.822096292
#> [134,] 1.59391859 -1.59257702 0.062711865
#> [135,] 1.46849344 -1.05274450 0.244494388
#> [136,] 1.53038691 -1.69053892 -0.147502033
#> [137,] 2.07465771 -1.80666052 -0.112495142
#> [138,] 2.67402685 -1.13557983 0.400667608
#> [139,] 1.91593072 0.01021754 0.789146532
#> [140,] 2.85610690 -0.74200804 1.458116015
#> [141,] 1.92505429 -0.17920691 1.974030939
#> [142,] 1.49915401 -0.65614651 1.921528096
#> [143,] 0.40336740 -0.63096769 0.564678202
#> [144,] -0.36307926 -0.61125670 -0.694115895
#> [145,] -1.58607635 -2.27969552 -1.662007869
#> [146,] -2.22957311 -2.33406045 -2.966555018
#> [147,] -2.04951351 -2.40890017 -3.609675925
#> [148,] -2.32912724 -2.47820342 -4.008143093
#> [149,] -2.25633841 -2.49223013 -4.386797717
#> [150,] -2.93256425 -2.14596091 -4.986773003
#> [151,] -3.11171447 -1.61191222 -4.804297804
#> [152,] -2.90113879 -2.63046472 -4.562156065
#> [153,] -2.05910284 -1.39050226 -4.352263381
#> [154,] -1.85304079 -1.81813644 -4.384136163
#> [155,] -2.26323736 0.36706525 -3.392192432
#> [156,] -2.58977084 0.47394182 -2.848022449
#> [157,] -2.36029385 -0.49508185 -2.678755386
#> [158,] -1.99098896 -0.23660834 -2.254741126
#> [159,] -1.36015775 0.47531337 -1.814313636
#> [160,] -1.29896061 -0.36604297 -1.287517245
#> [161,] -0.95206643 0.58296450 -0.960611237
#> [162,] -1.21423444 0.22731276 -0.029208332
#> [163,] -0.72055055 -0.34630812 -0.083154219
#> [164,] -1.10077530 -0.33484891 0.274485022
#> [165,] -1.36008144 -1.32407914 0.034307969
#> [166,] -1.09843328 -2.85815438 -0.178242867
#> [167,] -1.67624563 0.51661734 0.023037646
#> [168,] -1.38704477 -1.83554065 -0.135561748
#> [169,] -1.04858295 -3.06870852 -0.882263507
#> [170,] -1.26563616 -2.33965814 -1.118516213
#> [171,] -2.21399999 -2.17974748 -2.938396636
#> [172,] -2.16862892 -2.24458676 -3.853268668
#> [173,] -3.17379855 -1.44726692 -4.117361750