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:¶

yndarray (p x k)

stepsint

Returns:¶

forecastsndarray (steps x neqs)

Notes

Lütkepohl pp 37-38