statsmodels.tsa.vector_ar.svar_model.SVARProcess.forecast

SVARProcess.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