statsmodels.tsa.vector_ar.svar_model.SVARResults.forecast

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

Produce linear minimum MSE forecasts for desired number of steps ahead, using prior values y

Parameters

y : ndarray (p x k)

steps : int

Returns

forecasts : ndarray (steps x neqs)

Notes

Lütkepohl pp 37-38