varf — VAR forecasting
rvarf=varf(namevar,hprev,arg1, ,argn)
namevar = the tlist results resulting from a VAR, an ECM, a BVAR or a BECM estimation or the same between quotes (to have it's name saved)
hprev = the prevision period which can be either
* a [n1 n2] constant vector where n1 and n2 are the lead over the last period of the estimation (n1<=0 means that the forecast begins within the estimation period)
* a n constant which is equivalent to [1 n] (forecast begins just after the estimation period)
* a [n1 n2] string vector where n1 and n2 are the time periods for forecasting (a posibility open only if the VAR has been performed with ts)
* a n string which is equivalent to [1 n] (forecast begins just after the estimation period)
argi = an argument which can be
*'xp=xx' (necessary if the variables in the VAR has been given as a matrix) where xx is [# of forecasting dates ; # of exogenous variables in the var] for the values of exogenous variables over the forecasting period
* the string 'noprint' if the user doesn't want to print the results of the forecast
rvarf = a results tlist with:
. rvarf('meth') = 'rvarf'
. rvarf('rvar') = results tlist of the originating var
. rvarf('prev') = matrix of forecasts
. rvar('prev_namex') = vector or ts of forecasts called by their names preceded by 'prev_'
bounds('1982m7','1994m12'); illinos=reshape(illinos,'1982m1') indiana=reshape(indiana,'1982m1') kentucky=reshape(kentucky,'1982m1') michigan=reshape(michigan,'1982m1') ohio=reshape(ohio,'1982m1') pennsyvlania=reshape(pennsyvlania,'1982m1') tennesse=reshape(tennesse,'1982m1') westvirginia=reshape(westvirginia,'1982m1') varjls=VAR(2,'endo=illinos,indiana,kentucky,michigan,ohio,pennsyvlania,tennesse,westvirginia','noprint'); rf=varf(varjls,'1995m12') // Example taken from function varf_d(). // Forecast is done from the first out-of-sample period (1995m1) until 1995m12. ecmjls=ecm(2,'illinos','indiana','kentucky','michigan','ohio','pennsyvlania','tennesse','westvirginia','noprint'); rf=varf('ecmjls',[-1,12]) // Now, forecast is done from the last but one period (1994m11) until the 12th out-of-sample period (1995m12).