[R] vector autoregression

From: Konrad Banachewicz <konradb_at_few.vu.nl>
Date: Wed 17 Aug 2005 - 06:57:37 EST


dear All,
I have the following problem: I need to calculate an h-step ahead forecast from a var model (estimated with a dse1 method estVARXls), which in turn will be used as an input for another model as conditioning data, so I need it as a simple, numeric matrix. No exogenous input is used.  However, the standard forecast method produces a 1-element list that includes a forecast matrix, yet I have no clue as to how to extract the values of interest. Featherforecast and Horizonforecast do not allow prediction only beyond the sample period, quote: "from.periods cannot exceed available output data". any help will be much appreciated,

regards,

konrad



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