statsmodels.tsa.vector_ar.var_model.VARProcess.forecast_interval

method

VARProcess.forecast_interval(y, steps, alpha=0.05, exog_future=None)

Construct forecast interval estimates assuming the y are Gaussian

Parameters

y{ndarray, None}

The initial values to use for the forecasts. If None, the last k_ar values of the original endogenous variables are used.

stepsint

Number of steps ahead to forecast

alphafloat, optional

The significance level for the confidence intervals.

exog_futurendarray, optional

Forecast values of the exogenous variables. Should include constant, trend, etc. as needed, including extrapolating out of sample.

Returns

——-

pointndarray

Mean value of forecast

lowerndarray

Lower bound of confidence interval

upperndarray

Upper bound of confidence interval

Notes

Lütkepohl pp. 39-40