statsmodels.tsa.vector_ar.var_model.VARResults.forecast

VARResults.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

Return type:

ndarray (steps x neqs)

Notes

Lütkepohl pp 37-38