VARProcess.forecast()

statsmodels.tsa.vector_ar.var_model.VARProcess.forecast

VARProcess.forecast(y, steps) [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

Lutkepohl pp 37-38