MTS: REGtspred – R documentation

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REGtspred

Prediction of a fitted regression model with time series errors

Perform prediction of a REGts model

REGtspred(model,newxt,h=1,orig=0)

`model`	An output of the REGts command for a vector time series with exogenous variables
`newxt`	The new data matrix of the exogenous variables. It must be of the same dimension as the original exogenous variables and of length at least h (the forecast horizon).
`orig`	The forecast origin. The default is zero indicating that the origin is the last observation.
`h`	The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1.

Perform prediction of a fitted REGts model

`pred`	Forecasts
`se.err`	Standard errors of forecasts
`rmse`	Root mean squares of forecast errors
`rmse`	Root mean squared forecast errors
`orig`	Return the forecast origin

Ruey S. Tsay

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8