Calculate the forecasts for a VAR out to a specified horizon Conditions on information at time "t"
forecast.RdCalculate the forecasts for a VAR out to a specified horizon Conditions on information at time "t"
Examples
x <- svars::USA
v <- vars::VAR(x, p = 2)
forecast(v, 10)
#> x pi i
#> [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,] NA NA NA
#> [11,] NA NA NA
#> [12,] 1.41039689 4.038803 5.510138
#> [13,] 1.62717789 4.182735 5.634644
#> [14,] 1.60712751 4.925727 6.458551
#> [15,] 1.65911647 5.342172 6.945378
#> [16,] 1.42745525 5.336419 6.881628
#> [17,] 0.96680536 5.495716 7.292802
#> [18,] 0.92760553 5.247775 7.065628
#> [19,] 1.58478954 4.483222 5.933315
#> [20,] 1.80326189 4.261544 5.455047
#> [21,] 1.29354490 5.040519 6.525950
#> [22,] 0.85668056 5.397753 7.099772
#> [23,] 0.67077699 5.700933 7.665663
#> [24,] 0.42902057 5.683484 7.849866
#> [25,] 0.59313860 5.326056 7.291113
#> [26,] 0.16969638 5.806381 7.911956
#> [27,] 0.10476651 5.551758 7.865507
#> [28,] -0.68038564 5.459146 8.151410
#> [29,] -1.12072349 5.452480 8.356867
#> [30,] -1.21444119 4.869074 7.665033
#> [31,] -1.37197315 4.721323 7.532785
#> [32,] -1.32442924 4.623351 7.362805
#> [33,] -0.47398893 3.846407 6.177501
#> [34,] -0.55234872 3.993667 6.064405
#> [35,] -0.19995310 5.227535 7.355187
#> [36,] -0.36273219 5.071207 7.242681
#> [37,] -0.39071880 4.407092 6.674265
#> [38,] 0.12983237 3.756194 5.632443
#> [39,] 0.10509193 5.180427 7.102875
#> [40,] 0.53564782 4.549533 6.512316
#> [41,] 0.57271097 4.544207 6.388941
#> [42,] 0.16041919 5.367710 7.501263
#> [43,] -0.13586046 5.691310 8.199136
#> [44,] -0.68297296 6.060500 8.789527
#> [45,] -2.31333899 6.223269 9.727404
#> [46,] -2.24565683 6.241907 9.678225
#> [47,] -2.17643401 5.723652 8.889058
#> [48,] -3.58013404 6.327063 10.384812
#> [49,] -4.70887935 6.624542 11.039837
#> [50,] -4.10412691 6.559837 10.408433
#> [51,] -2.83580143 5.294286 8.250887
#> [52,] -1.93807923 4.142156 6.873425
#> [53,] -2.16483491 4.558000 7.576245
#> [54,] -1.69475306 4.563109 7.272676
#> [55,] -0.72185353 4.021510 6.393445
#> [56,] -0.56664920 3.741127 5.981401
#> [57,] -0.83658446 4.039333 6.362036
#> [58,] -1.19189326 4.902403 7.350974
#> [59,] -1.11936304 5.004946 7.463315
#> [60,] -0.94147464 4.922048 7.454249
#> [61,] -0.76824210 4.716757 7.234260
#> [62,] -1.78873520 5.778843 8.614740
#> [63,] -1.72689812 4.883211 7.718941
#> [64,] -1.66621260 5.879525 9.074356
#> [65,] -1.72447487 5.662974 8.738694
#> [66,] -2.53097921 6.257872 9.843812
#> [67,] -2.58069755 5.568256 9.076407
#> [68,] -3.17564546 6.182945 9.908729
#> [69,] -3.51336005 5.967488 9.975177
#> [70,] -4.36682243 5.340952 9.915070
#> [71,] -4.90903242 4.999306 9.866281
#> [72,] -4.36437310 4.372915 8.447218
#> [73,] -3.77908499 4.772146 8.507824
#> [74,] -6.65653844 6.156640 12.064277
#> [75,] -6.24084233 5.623895 11.282949
#> [76,] -6.10746424 4.017803 9.458995
#> [77,] -5.71617377 3.643812 8.999749
#> [78,] -4.36475551 3.314654 7.435249
#> [79,] -4.90799439 2.404755 6.853656
#> [80,] -4.86876980 1.793585 6.389280
#> [81,] -3.74565514 1.802870 5.425482
#> [82,] -3.23165004 1.667213 5.032864
#> [83,] -2.69096316 1.431484 4.667040
#> [84,] -2.34423276 1.588801 4.831137
#> [85,] -2.59233937 2.383930 5.806554
#> [86,] -2.15274438 2.332759 5.594221
#> [87,] -2.17753748 3.020955 6.345420
#> [88,] -2.21981321 3.021105 6.463881
#> [89,] -2.30618594 2.800651 6.278942
#> [90,] -1.27817405 2.511250 5.277268
#> [91,] -1.41490070 3.495301 6.327729
#> [92,] -0.93477902 3.002188 5.602179
#> [93,] -0.66050895 2.970204 5.530839
#> [94,] -0.68714217 2.907957 5.436390
#> [95,] -0.49330848 2.772890 5.198310
#> [96,] -0.09004280 2.541715 4.658095
#> [97,] 0.15763835 2.675382 4.688745
#> [98,] -0.05903980 2.897393 4.988784
#> [99,] -0.26661149 3.188846 5.375084
#> [100,] -0.42103100 3.258879 5.604802
#> [101,] -0.46454795 3.292991 5.648546
#> [102,] -0.47469053 3.682281 6.127782
#> [103,] -0.32827241 3.581762 5.846505
#> [104,] -0.62794476 4.015775 6.545700
#> [105,] -1.14500185 4.286454 7.047425
#> [106,] -0.99720061 3.846806 6.645781
#> [107,] -1.40421497 4.124616 7.159773
#> [108,] -1.48916059 4.040220 7.096679
#> [109,] -0.93718200 3.512003 6.248785
#> [110,] -0.72958305 3.268862 5.827344
#> [111,] -0.93740604 4.047247 6.751221
#> [112,] -1.04805060 4.054672 6.760571
#> [113,] -0.99189532 3.617802 6.241431
#> [114,] -0.92159493 2.936789 5.370381
#> [115,] -0.84657123 3.017075 5.285698
#> [116,] -0.59563432 2.841957 5.094682
#> [117,] -0.49745875 2.792659 4.966229
#> [118,] -0.08883037 2.494185 4.403752
#> [119,] 0.37918772 2.493591 4.216507
#> [120,] 0.38904637 2.964482 4.689132
#> [121,] 0.70782398 2.916408 4.461431
#> [122,] 0.71313744 3.296187 4.841794
#> [123,] 0.68054818 3.091928 4.583133
#> [124,] 0.64347740 3.080017 4.608162
#> [125,] 0.56952176 3.029433 4.582058
#> [126,] 0.72696403 3.066679 4.625438
#> [127,] 0.76903622 3.042778 4.588960
#> [128,] 0.59103845 3.179810 4.920335
#> [129,] 0.40482207 3.109745 4.898407
#> [130,] 0.18291680 3.178382 5.168995
#> [131,] -0.07409866 3.009599 5.080154
#> [132,] -0.09939938 2.632070 4.701006
#> [133,] -0.00425289 2.642955 4.679000
#> [134,] -0.01080821 2.695332 4.720617
#> [135,] 0.06363894 2.758549 4.707904
#> [136,] 0.31658141 2.842877 4.797288
#> [137,] 0.50320656 2.661045 4.485506
#> [138,] 0.40931309 3.023239 4.897502
#> [139,] 0.25504229 3.281661 5.202495
#> [140,] 0.49157315 2.983980 4.909332
#> [141,] 0.65296928 3.053382 4.890853
#> [142,] 0.68229310 3.028308 4.811884
#> [143,] 0.83654571 2.806807 4.545969
#> [144,] 0.88754599 2.835447 4.548472
#> [145,] 0.78993260 3.227268 5.025322
#> [146,] 1.18527926 3.416657 5.024116
#> [147,] 1.21357635 3.609896 5.162008
#> [148,] 1.22557311 3.549260 5.096555
#> [149,] 1.13131351 3.673200 5.339676
#> [150,] 1.11052724 4.011103 5.758143
#> [151,] 0.69033841 4.296230 6.126798
#> [152,] 0.61076425 4.356361 6.426773
#> [153,] 0.51531447 4.100012 6.054298
#> [154,] 0.50603879 3.847065 5.812156
#> [155,] 0.62780284 3.653202 5.372263
#> [156,] 0.86644079 3.815736 5.384136
#> [157,] 1.22793736 3.120135 4.392192
#> [158,] 1.69807084 2.885358 3.858022
#> [159,] 1.74189385 3.090282 4.108755
#> [160,] 1.62238896 3.157408 4.204741
#> [161,] 1.48505775 3.193187 4.284314
#> [162,] 1.37936061 3.176443 4.227517
#> [163,] 1.25756643 3.296335 4.420611
#> [164,] 1.48453444 2.930587 4.009208
#> [165,] 1.60365055 3.457508 4.543154
#> [166,] 1.69667530 3.605349 4.635515
#> [167,] 1.44498144 4.118379 5.215692
#> [168,] 1.36103328 4.268154 5.428243
#> [169,] 1.40364563 4.032583 5.236962
#> [170,] 1.26854477 4.080741 5.385562
#> [171,] 0.99508295 4.458709 5.952264
#> [172,] 0.98193616 4.127458 5.618516
#> [173,] 0.68039999 4.436247 6.118397
#> [174,] 0.57472892 4.195587 5.943269
#> [175,] 0.55449855 4.202967 6.057362
#> [176,] 0.38508936 4.105239 5.984115
#> [177,] 0.27252278 3.747227 5.662149
#> [178,] 0.59183536 3.195138 5.018153
#> [179,] 0.01442462 4.074719 6.067328
#> [180,] 0.20824944 3.591892 5.572568
#> [181,] 0.65668767 3.048308 4.803605
#> [182,] 0.83825938 3.074218 4.663823
#> [183,] 1.03112823 3.040037 4.311489
#> [184,] 1.31121898 3.149579 4.325017
#> [185,] 1.03940751 3.264132 4.471843