statsmodels.tsa.vector_ar.var_model.VARProcess.forecast

VARProcess.forecast(y, steps, exog_future=None)[source]

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