statsmodels.tsa.vector_ar.var_model.VARResults.forecast

VARResults.forecast(y, steps, exog_future=None)

Produce linear minimum MSE forecasts for desired number of steps ahead, using prior values y

Parameters:
yndarray (p x k)
stepsint
Returns:
forecastsndarray (steps x neqs)

Notes

Lütkepohl pp 37-38


Last update: Feb 28, 2024