predict with conjugate Normal-Inverse-Wishart bayesian VAR model
forecast_conjugate(model, Y_in = NULL, Z_f = NULL, output = c("long", "wide"), h = 1, out_of_sample = TRUE, type = c("prediction", "credible"), level = c(80, 95), include = c("mean", "median", "sd", "interval", "raw"), fast_forecast = FALSE, verbose = FALSE)
| model | estimated conjugate N-IW model |
|---|---|
| Y_in | (NULL by default) past values of endogeneous variables (shold have at least p observations). If NULL, then Y_in supplied for estimation will be used. For out-of-sample forecast only last p values of Y_in are used |
| Z_f | future values of exogeneous variables |
| output | (default 'long') --- long or wide table for mean/quantiles of forecasts |
| h | number of periods for forecasting |
| out_of_sample | logical, default is TRUE, whether forecasts are out-of-sample or in-sample. If forecasts are not out-of-sample, then parameter h is ignored |
| type | ('prediction' by default) type of interval: 'prediction' incorporates uncertainty about future shocks; 'credible' deals only with parameter uncertainty. |
| level | confidence levels for prediction intervals |
| include | (default is c('mean', 'median', 'sd', 'raw')) what type of summary to provide If 'raw' is present raw forecasts will be reported. If only 'raw' is present then function will return coda mcmc object with raw forecasts. Otherwise raw forecasts will be attached as attribute. |
| fast_forecast | logical, FALSE by default. If TRUE then only mean forecast is calculated, posterior expected values of hyperparameters are used. No confidence intervals, no sd, no median. This mode is activated by default if there are no simulations in supplied model. |
| verbose | (default FALSE) if true some messages will be printed |
forecast results
predict with conjugate Normal-Inverse-Wishart bayesian VAR model
data(Yraw) priors <- Carriero_priors(Yraw, p = 4) model <- bvar_conjugate0(priors = priors, keep = 100) forecast_conjugate(model, h = 2, output = 'wide')#> variable h mean median sd lower_80 upper_80 lower_95 #> 1 inflation 1 2.784789 2.764593 0.2848619 2.433737 3.166019 2.237943 #> 2 inflation 2 2.719156 2.735954 0.4655253 2.173356 3.360548 1.798172 #> 3 interest_rate 1 4.622494 4.616425 0.8088017 3.591344 5.733700 3.075596 #> 4 interest_rate 2 4.641837 4.695696 1.1389115 3.182334 6.022727 2.029033 #> 5 unemployment 1 4.888859 4.887834 0.3434221 4.455810 5.330606 4.295066 #> 6 unemployment 2 4.934553 4.946161 0.5334880 4.298933 5.640938 3.956308 #> upper_95 #> 1 3.289092 #> 2 3.588531 #> 3 6.008703 #> 4 6.522149 #> 5 5.518314 #> 6 5.942867forecast_conjugate(model, out_of_sample = FALSE, include = 'mean', level = NULL, type = 'credible')#> variable h what value #> 1 inflation 1 mean 1.0397979 #> 2 unemployment 1 mean 3.4035148 #> 3 interest_rate 1 mean 1.2837951 #> 4 inflation 2 mean 1.2221003 #> 5 unemployment 2 mean 5.4240295 #> 6 interest_rate 2 mean 0.5855760 #> 7 inflation 3 mean 1.0495318 #> 8 unemployment 3 mean 6.1579723 #> 9 interest_rate 3 mean 0.4627746 #> 10 inflation 4 mean 0.6905512 #> 11 unemployment 4 mean 5.6689022 #> 12 interest_rate 4 mean 0.6058879 #> 13 inflation 5 mean 0.6202724 #> 14 unemployment 5 mean 5.4784290 #> 15 interest_rate 5 mean 1.0149538 #> 16 inflation 6 mean 0.8468367 #> 17 unemployment 6 mean 4.5635696 #> 18 interest_rate 6 mean 1.6261795 #> 19 inflation 7 mean 1.3501544 #> 20 unemployment 7 mean 4.5014647 #> 21 interest_rate 7 mean 1.9229014 #> 22 inflation 8 mean 2.3961885 #> 23 unemployment 8 mean 3.8161536 #> 24 interest_rate 8 mean 2.3555557 #> 25 inflation 9 mean 2.7591495 #> 26 unemployment 9 mean 4.3258343 #> 27 interest_rate 9 mean 2.5166598 #> 28 inflation 10 mean 3.4191559 #> 29 unemployment 10 mean 3.9844211 #> 30 interest_rate 10 mean 2.9487190 #> 31 inflation 11 mean 3.6867464 #> 32 unemployment 11 mean 4.0592058 #> 33 interest_rate 11 mean 2.9585698 #> 34 inflation 12 mean 4.0448304 #> 35 unemployment 12 mean 4.5839431 #> 36 interest_rate 12 mean 2.6368844 #> 37 inflation 13 mean 3.9064407 #> 38 unemployment 13 mean 3.9167604 #> 39 interest_rate 13 mean 3.3071830 #> 40 inflation 14 mean 4.0342795 #> 41 unemployment 14 mean 4.3307116 #> 42 interest_rate 14 mean 3.2495841 #> 43 inflation 15 mean 3.7507642 #> 44 unemployment 15 mean 3.9913899 #> 45 interest_rate 15 mean 3.3435836 #> 46 inflation 16 mean 3.1925427 #> 47 unemployment 16 mean 4.3718738 #> 48 interest_rate 16 mean 3.1041163 #> 49 inflation 17 mean 3.1367681 #> 50 unemployment 17 mean 4.6866925 #> 51 interest_rate 17 mean 3.4511570 #> 52 inflation 18 mean 2.6057419 #> 53 unemployment 18 mean 6.1526160 #> 54 interest_rate 18 mean 1.9497369 #> 55 inflation 19 mean 2.1554081 #> 56 unemployment 19 mean 7.7645311 #> 57 interest_rate 19 mean 0.6489684 #> 58 inflation 20 mean 1.7109578 #> 59 unemployment 20 mean 7.4017937 #> 60 interest_rate 20 mean 0.8123039 #> 61 inflation 21 mean 1.5837350 #> 62 unemployment 21 mean 6.2016587 #> 63 interest_rate 21 mean 2.6878938 #> 64 inflation 22 mean 1.3104169 #> 65 unemployment 22 mean 5.5203655 #> 66 interest_rate 22 mean 2.9675525 #> 67 inflation 23 mean 1.1472769 #> 68 unemployment 23 mean 4.8398702 #> 69 interest_rate 23 mean 3.3014577 #> 70 inflation 24 mean 1.1693077 #> 71 unemployment 24 mean 4.9534146 #> 72 interest_rate 24 mean 3.2943989 #> 73 inflation 25 mean 1.3168305 #> 74 unemployment 25 mean 5.7277208 #> 75 interest_rate 25 mean 3.7121000 #> 76 inflation 26 mean 1.0996902 #> 77 unemployment 26 mean 5.0281818 #> 78 interest_rate 26 mean 4.2056822 #> 79 inflation 27 mean 1.5369279 #> 80 unemployment 27 mean 5.1473500 #> 81 interest_rate 27 mean 3.3442068 #> 82 inflation 28 mean 1.6816339 #> 83 unemployment 28 mean 5.5846325 #> 84 interest_rate 28 mean 2.4973404 #> 85 inflation 29 mean 1.5415531 #> 86 unemployment 29 mean 6.1652153 #> 87 interest_rate 29 mean 2.2211106 #> 88 inflation 30 mean 1.2937499 #> 89 unemployment 30 mean 6.5649209 #> 90 interest_rate 30 mean 2.0128403 #> 91 inflation 31 mean 0.9601755 #> 92 unemployment 31 mean 6.8739719 #> 93 interest_rate 31 mean 2.0019902 #> 94 inflation 32 mean 0.8285982 #> 95 unemployment 32 mean 6.7523985 #> 96 interest_rate 32 mean 2.1339085 #> 97 inflation 33 mean 0.7839050 #> 98 unemployment 33 mean 6.1324873 #> 99 interest_rate 33 mean 2.4462040 #> 100 inflation 34 mean 1.5673834 #> 101 unemployment 34 mean 5.4114693 #> 102 interest_rate 34 mean 3.1806397 #> 103 inflation 35 mean 1.5634051 #> 104 unemployment 35 mean 5.3620481 #> 105 interest_rate 35 mean 2.9910051 #> 106 inflation 36 mean 1.4973493 #> 107 unemployment 36 mean 5.2213692 #> 108 interest_rate 36 mean 3.1460810 #> 109 inflation 37 mean 1.5577044 #> 110 unemployment 37 mean 5.3009470 #> 111 interest_rate 37 mean 2.8529435 #> 112 inflation 38 mean 1.0671862 #> 113 unemployment 38 mean 5.6637026 #> 114 interest_rate 38 mean 2.7252565 #> 115 inflation 39 mean 0.9279714 #> 116 unemployment 39 mean 5.5950566 #> 117 interest_rate 39 mean 2.7860240 #> 118 inflation 40 mean 0.8948821 #> 119 unemployment 40 mean 5.4591575 #> 120 interest_rate 40 mean 3.0593747 #> 121 inflation 41 mean 1.2826544 #> 122 unemployment 41 mean 5.3604994 #> 123 interest_rate 41 mean 3.4432515 #> 124 inflation 42 mean 1.3100114 #> 125 unemployment 42 mean 5.5154513 #> 126 interest_rate 42 mean 3.4290611 #> 127 inflation 43 mean 1.6395006 #> 128 unemployment 43 mean 5.1650022 #> 129 interest_rate 43 mean 3.6367706 #> 130 inflation 44 mean 2.0364755 #> 131 unemployment 44 mean 4.7658871 #> 132 interest_rate 44 mean 3.7495638 #> 133 inflation 45 mean 1.6940031 #> 134 unemployment 45 mean 5.0920770 #> 135 interest_rate 45 mean 3.5275887 #> 136 inflation 46 mean 1.8299816 #> 137 unemployment 46 mean 4.8476736 #> 138 interest_rate 46 mean 3.8748998 #> 139 inflation 47 mean 1.9667724 #> 140 unemployment 47 mean 4.7721846 #> 141 interest_rate 47 mean 3.9168323 #> 142 inflation 48 mean 1.9533257 #> 143 unemployment 48 mean 4.3467302 #> 144 interest_rate 48 mean 3.9942107 #> 145 inflation 49 mean 2.1557532 #> 146 unemployment 49 mean 4.2053713 #> 147 interest_rate 49 mean 4.1573368 #> 148 inflation 50 mean 2.3535713 #> 149 unemployment 50 mean 4.0374632 #> 150 interest_rate 50 mean 4.6308823 #> 151 inflation 51 mean 2.9780362 #> 152 unemployment 51 mean 3.8786609 #> 153 interest_rate 51 mean 4.7872004 #> 154 inflation 52 mean 3.5225168 #> 155 unemployment 52 mean 3.9664317 #> 156 interest_rate 52 mean 4.9596235 #> 157 inflation 53 mean 3.7102739 #> 158 unemployment 53 mean 3.8581894 #> 159 interest_rate 53 mean 5.4331278 #> 160 inflation 54 mean 3.3822907 #> 161 unemployment 54 mean 4.1380777 #> 162 interest_rate 54 mean 4.6712533 #> 163 inflation 55 mean 3.0047324 #> 164 unemployment 55 mean 4.0296185 #> 165 interest_rate 55 mean 3.9724138 #> 166 inflation 56 mean 2.9922362 #> 167 unemployment 56 mean 4.0059909 #> 168 interest_rate 56 mean 4.2225202 #> 169 inflation 57 mean 3.2951364 #> 170 unemployment 57 mean 4.2135139 #> 171 interest_rate 57 mean 4.4609379 #> 172 inflation 58 mean 4.1280831 #> 173 unemployment 58 mean 3.8306062 #> 174 interest_rate 58 mean 5.2044365 #> 175 inflation 59 mean 4.6678261 #> 176 unemployment 59 mean 3.6557355 #> 177 interest_rate 59 mean 5.6123716 #> 178 inflation 60 mean 4.5236450 #> 179 unemployment 60 mean 3.9712105 #> 180 interest_rate 60 mean 5.3780449 #> 181 inflation 61 mean 4.9126267 #> 182 unemployment 61 mean 3.6270097 #> 183 interest_rate 61 mean 5.6550031 #> 184 inflation 62 mean 4.6886848 #> 185 unemployment 62 mean 3.6613771 #> 186 interest_rate 62 mean 6.0734932 #> 187 inflation 63 mean 4.9996916 #> 188 unemployment 63 mean 3.6958146 #> 189 interest_rate 63 mean 6.1622080 #> 190 inflation 64 mean 5.5705561 #> 191 unemployment 64 mean 3.8438139 #> 192 interest_rate 64 mean 6.9656548 #> 193 inflation 65 mean 5.2338113 #> 194 unemployment 65 mean 4.0578317 #> 195 interest_rate 65 mean 6.7926070 #> 196 inflation 66 mean 5.7236138 #> 197 unemployment 66 mean 4.2622953 #> 198 interest_rate 66 mean 7.7093743 #> 199 inflation 67 mean 5.6853345 #> 200 unemployment 67 mean 5.0918678 #> 201 interest_rate 67 mean 6.2792377 #> 202 inflation 68 mean 4.6856204 #> 203 unemployment 68 mean 5.3950947 #> 204 interest_rate 68 mean 6.1401644 #> 205 inflation 69 mean 4.8224035 #> 206 unemployment 69 mean 5.8219848 #> 207 interest_rate 69 mean 5.6790839 #> 208 inflation 70 mean 5.0386716 #> 209 unemployment 70 mean 6.1985283 #> 210 interest_rate 70 mean 4.5116896 #> 211 inflation 71 mean 4.9550515 #> 212 unemployment 71 mean 6.0352317 #> 213 interest_rate 71 mean 4.1937405 #> 214 inflation 72 mean 5.2127880 #> 215 unemployment 72 mean 6.0191124 #> 216 interest_rate 72 mean 5.4762180 #> 217 inflation 73 mean 4.6110193 #> 218 unemployment 73 mean 5.7619199 #> 219 interest_rate 73 mean 4.5892924 #> 220 inflation 74 mean 4.9297065 #> 221 unemployment 74 mean 5.8655304 #> 222 interest_rate 74 mean 3.8976291 #> 223 inflation 75 mean 3.8861103 #> 224 unemployment 75 mean 5.7176544 #> 225 interest_rate 75 mean 3.8427760 #> 226 inflation 76 mean 3.9469290 #> 227 unemployment 76 mean 5.5509230 #> 228 interest_rate 76 mean 4.1467220 #> 229 inflation 77 mean 4.5186643 #> 230 unemployment 77 mean 5.5998359 #> 231 interest_rate 77 mean 4.8417300 #> 232 inflation 78 mean 4.1253300 #> 233 unemployment 78 mean 4.7619942 #> 234 interest_rate 78 mean 5.5812210 #> 235 inflation 79 mean 5.5771374 #> 236 unemployment 79 mean 5.0530182 #> 237 interest_rate 79 mean 6.5221520 #> 238 inflation 80 mean 6.7178086 #> 239 unemployment 80 mean 4.8939182 #> 240 interest_rate 80 mean 8.1930252 #> 241 inflation 81 mean 7.2207283 #> 242 unemployment 81 mean 4.7427763 #> 243 interest_rate 81 mean 7.6395395 #> 244 inflation 82 mean 7.8558153 #> 245 unemployment 82 mean 5.4624760 #> 246 interest_rate 82 mean 8.0290932 #> 247 inflation 83 mean 8.3950856 #> 248 unemployment 83 mean 5.3819146 #> 249 interest_rate 83 mean 8.5741863 #> 250 inflation 84 mean 9.8035379 #> [ reached getOption("max.print") -- omitted 383 rows ]