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
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]