statsmodels.tsa.vector_ar.var_model.VARProcess.forecast¶

VARProcess.forecast(y, steps, exog_future=None)[source]¶

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

Parameters:¶

y : ndarray (p x k)¶

steps : int¶

Returns:¶

forecasts

Return type:¶

ndarray (steps x neqs)

Notes

Lütkepohl pp 37-38