statsmodels.tsa.vector_ar.vecm.VECMResults.predict¶
-
VECMResults.
predict
(steps=5, alpha=None, exog_fc=None, exog_coint_fc=None)[source]¶ Calculate future values of the time series.
- Parameters
- steps
int
Prediction horizon.
- alpha
float
, 0 < alpha < 1 orNone
If None, compute point forecast only. If float, compute confidence intervals too. In this case the argument stands for the confidence level.
- exog
ndarray
(steps
x
self.exog.shape
[1]) If self.exog is not None, then information about the future values of exog have to be passed via this parameter. The ndarray may be larger in it’s first dimension. In this case only the first steps rows will be considered.
- steps
- Returns
forecast
-ndarray
(steps
x
neqs
)or
three
ndarrays
In case of a point forecast: each row of the returned ndarray represents the forecast of the neqs variables for a specific period. The first row (index [0]) is the forecast for the next period, the last row (index [steps-1]) is the steps-periods-ahead- forecast.