statsmodels.tsa.vector_ar.svar_model.SVARResults.forecast

SVARResults.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

exog_futurendarray, optional

Future values of the exogenous variables, including any trend and constant terms, needed to produce forecasts of steps periods ahead.

Returns:

forecastsndarray (steps x neqs)

Notes

Lütkepohl pp 37-38