statsmodels.tsa.vector_ar.svar_model.SVARResults.forecast_interval¶
-
SVARResults.
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
Notes
Lütkepohl pp. 39-40