CODEWITHSUNDEEP
rpredict
Quinn
Quinn

Reputation: 21

how to predict svar models in r?

When I use the var model in R packagevars, I can use the function predict to predict the model.

For example

z = VAR(x, p = 1, type = "const")
pred_y = predict(y, n = 1)

but when I use the SVAR function, predict throws an error

z = VAR(x, p = 1, type = "const")
y = SVAR(z,Amat = amat,Bmat = NULL) 
predict(y)

Error in is.constant(y) :

(list) object cannot be coerced to type 'double'

How do I solve this problem?

Upvotes: 1

Views: 987

Answers (1)

user9471919
user9471919

Reputation:

VAR, SVAR and SVEC Models: Implementation Within R Package vars : Bernhard Pfaff

See Section 3. Classes methods and functions

The methods "predict" for SVAR class doesn't exist. You can use instead the function "fevd" which show us how a shock impact the other variable

Upvotes: 1

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