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
Return type:	ndarray (steps x neqs)

Notes

Lütkepohl pp 37-38