statsmodels.tsa.vector_ar.svar_model.SVARProcess.forecast_interval¶
- SVARProcess.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.
- steps
int Number of steps ahead to forecast
- alpha
float,optional The significance level for the confidence intervals.
- exog_future
ndarray,optional Forecast values of the exogenous variables. Should include constant, trend, etc. as needed, including extrapolating out of sample.
- Returns
- ——-
- point
ndarray Mean value of forecast
- lower
ndarray Lower bound of confidence interval
- upper
ndarray Upper bound of confidence interval
- y{
Notes
Lütkepohl pp. 39-40