.recursiveforecast {bigtime}R Documentation

Recursively forecast a VAR

Description

This function is not meant to be directly called by the user and is only a helper function

Usage

.recursiveforecast(Y, Phi_hat, phi_0, h)

Arguments

Y

Data matrix

Phi_hat

Coefficient matrix

phi_0

Constant terms

h

Forecast horizon

Value

Returns a matrix of forecasts


[Package bigtime version 0.2.3 Index]