TVFORECAST procedure

Forecasts future values from a vector autoregressive moving average (VARMA) model (A.I. Glaser).

Options

PRINT = string tokens	What to print (forecasts, se); default fore, se
MAXLEAD = scalar	Maximum lead time i.e. number of forecasts to be made; default 1

Parameters

FORECASTS = matrices	Saves the forecasts
SE = matrices	Saves standard errors of the forecasts
SAVE = pointers	Save structure from a previous TVARMA

Description

TVFORECAST can be used after the TVARMA procedure to predict future values of a vector time series. The SAVE parameter supplies details of the analysis. If this is not set, TVFORECAST produces forecasts from the most recent TVARMA analysis.

Printed output is controlled by the PRINT option with settings:

forecasts	forecasts from the model, and
se	standard errors of the forecasts.

The number of forecasts to make is specified by the MAXLEAD option. The forecasts and their standard errors can be saved using the FORECASTS and SE parameters.

Options: PRINT, MAXLEAD.

Parameters: FORECASTS, SE, SAVE.

Method

TVFORECAST uses the NAG directive to call routine G13DJF.

See also

Procedures: TVARMA, TVGRAPH.

Commands for: Time series.

Example

CAPTION   'TVFORECAST example',\
          'NAG example for G13DCF, D13DJF and G13DSF.'; STYLE=meta,plain
VARIATE   [NVALUES=48] C1
READ      C1
-1.49 -1.62 5.2 6.23 6.21 5.86 4.09 3.18 2.62 1.49 1.17 0.85 -0.35 0.24 2.44 
2.58 2.04 0.4 2.26 3.34 5.09 5 4.78 4.11 3.45 1.65 1.29 4.09 6.32 7.5 3.89 
1.58 5.21 5.25 4.93 7.38 5.87 5.81 9.68 9.07 7.29 7.84 7.55 7.32 7.97 7.76 7 
8.35 :
VARIATE   [NVALUES=48] C2
READ      C2
7.34 6.35 6.96 8.54 6.62 4.97 4.55 4.81 4.75 4.76 10.88 10.01 11.62 10.36 
6.4 6.24 7.93 4.04 3.73 5.6 5.35 6.81 8.27 7.68 6.65 6.08 10.25 9.14 17.75 
13.3 9.63 6.8 4.08 5.06 4.94 6.65 7.94 10.76 11.89 5.85 9.01 7.5 10.02 10.38 
8.15 8.37 10.73 12.14 :

" Set values of fixed AR parameters "
MATRIX    [ROWS=2; COLUMNS=2] armatrix
CALCULATE armatrix$[2;1] = 0
POINTER   [NVALUES=4] arset
CALCULATE arset[1] = armatrix

TVARMA     [ARMA=!(1,0); ARFIXED=arset; NCROSS=10] !P(C1,C2)
TVFORECAST [MAXLEAD=5]