statsmodels.tsa.vector_ar.var_model.VARProcess.forecast

VARProcess.forecast(y, steps, exog_future=None)[source]

Produce linear minimum MSE forecasts for desired number of steps ahead, using prior values y

Parameters:
  • y (ndarray (p x k)) –
  • steps (int) –
Returns:

forecasts
Return type:

ndarray (steps x neqs)

Notes

Lütkepohl pp 37-38