CODEWITHSUNDEEP
rstatisticsforecasting
Carol.Kar
Carol.Kar

Reputation: 5345

Using vars package and the forecast function to plot future observations

On the following site(https://www.otexts.org/fpp/9/2) a Vector autoregressions is created. 

library(vars)
VARselect(usconsumption, lag.max=8, type="const")$selection


var <- VAR(usconsumption, p=3, type="const")
serial.test(var, lags.pt=10, type="PT.asymptotic")


summary(var)

The code is rather simple, but when creating the forecast:

fcst <- forecast(var)
plot(fcst, xlab="Year")

The forecast function does not work. However, using the predict function does not yield the same plot as the forecast function.

Any suggestions, how to obtain the plot from the provided link?

I appreciate your replies!

Upvotes: 1

Views: 3271

Answers (1)

Rob Hyndman
Rob Hyndman

Reputation: 31800

What do you mean "the forecast function does not work"? I get exactly the plot you want and the predict function gives exactly the same forecasts:

> fcst <- forecast(var, h=3)
> pred <- predict(var, n.ahead=3)
> fcst
consumption 
        Point Forecast       Lo 80    Hi 80      Lo 95    Hi 95
2011 Q1      0.7421472 -0.06576279 1.550057 -0.4934445 1.977739
2011 Q2      0.7980532 -0.03433474 1.630441 -0.4749743 2.071081
2011 Q3      0.7921921 -0.06526268 1.649647 -0.5191718 2.103556

income 
        Point Forecast      Lo 80    Hi 80      Lo 95    Hi 95
2011 Q1      0.8208025 -0.2748906 1.916496 -0.8549154 2.496520
2011 Q2      0.7188650 -0.4437286 1.881459 -1.0591685 2.496898
2011 Q3      0.8241248 -0.3388670 1.987117 -0.9545177 2.602767
> pred
$consumption
          fcst      lower    upper       CI
[1,] 0.7421472 -0.4934445 1.977739 1.235592
[2,] 0.7980532 -0.4749743 2.071081 1.273028
[3,] 0.7921921 -0.5191718 2.103556 1.311364

$income
          fcst      lower    upper       CI
[1,] 0.8208025 -0.8549154 2.496520 1.675718
[2,] 0.7188650 -1.0591685 2.496898 1.778034
[3,] 0.8241248 -0.9545177 2.602767 1.778643

Upvotes: 3

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