directforecast {bigtime} | R Documentation |
Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model
directforecast(fit, model, h = 1)
fit |
Fitted sparse VAR, VARX or VARMA model. |
model |
Type of model that was estimated: VAR, VARX or VARMA. |
h |
Desired forecast horizon. |
Vector of length k containing the h-step ahead forecasts for the k time series.
data(Y) VARfit <- sparseVAR(Y) # sparse VAR VARforecast <- directforecast(fit=VARfit, model="VAR", h=1)