iForecast.var {iForecast} | R Documentation |
Produce multistep forecasts from machine learning VAR
Description
It generates multistep forecasts of machine learning VAR.
Usage
iForecast.var(object, n.ahead)
Arguments
object |
The object generated by |
n.ahead |
The number of out-of-sample forecasting periods. If n.ahead=1, it is one-step forecast; if n.ahead>1, it computes multistep forecasts by recursive method. |
Details
This function generates multistep forecasts of machine learning VAR.
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
Examples
data(macrodata)
y=timeSeries::as.timeSeries(macrodata[,-1])
VLD=window(y,start="2019-01-01",end=end(y))
#OUT1=tts.var(data=y,
# p=3,
# method="enet",
# train.end="2018-12-01",
# type=c("none","trend","season","both")[1])
#fcst_ml=iForecast.var(OUT1, n.ahead=nrow(VLD))
[Package iForecast version 1.1.1 Index]