statsmodels.tsa.vector_ar.var_model.VARProcess.forecast

VARProcess.forecast(y, steps, exog_future=None)

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