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:

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