Grocer Function

NAME

varf - VAR forecasting

CALLING SEQUENCE

rvarf=varf(namevar,hprev,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Performs forecasting by the mean of a vector autogressive estimation and, by default, displays on screen the estimation results. If the var structure comes from an ecm estimation, then what is stored is the forecasted levels; if it comes from an ordinary var, then what is stored is the forecasted values of the endogenous variables, as they have been given by the user (for instance, if she has given one as del(ts), then what is forecasted is del(ts), not ts).

EXAMPLE

1) bounds('1982m7','1994m12'); varjls=var(2,'endo=illinos,indiana,kentucky,michigan,ohio,pennsyvlania,tennesse, westvirginia','noprint'); rf=varf(varjls,'1995m12') 2) ecmjls=ecm(2,'illinos','indiana','kentucky','michigan','ohio','pennsyvlania','tennesse','westvirginia','noprint'); rf=varf('ecmjls',[-1,12])

Examples taken from function varf_d().
In example 1, forecast is done from the first out-of-sample period (1995m1) until 1995m12.
In example 2, forecast is done from the last but one period (1994m11) until the 12th out-of-sample period (1995m12).

AUTHOR

Eric Dubois 2002