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
Returns
forecastsndarray (steps x neqs)

Notes

Lütkepohl pp 37-38