Library: | multi |
See also: | forec2 forecast |
Quantlet: | ivforec | |
Description: | Computes forecast intervals for VAR Models |
Usage: | yy=ivforec(h,yh,covdyd,z) | |
Input: | ||
h | scalar, forecast horizon | |
yh | matrix, forecasts of variables | |
covdyd | matrix, forecast mse | |
z | scalar, 1.96 for alpha=0.95 | |
Output: | ||
yy | matrix, forecast intervals |