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conditional historical predictions

Topics: VAR, SVAR, FAVAR
May 26, 2015 at 3:19 PM
Hi,

I have a VAR model and have created fancharts for forecasts. RMSEs that are used in the fancharts are calculated from the unconditional historical predictions. The historical unconditional predictions are produced with the following command

[~,fe] = filter(myVAR), myData,startHistory+p:endHistory, 'output=','pred', 'ahead=',forecastLength, 'meanOnly=', true);

Now, I would like to create fancharts that use RMSEs from conditional historical predictions. Before I start writing my own forecast loops, I was wondering is there a way to produce the conditional historical predictions (1-step ahead forecast in 1st column, 2-step ahead forecast in 2nd column, and so forth up till 'forecastLength') as easily as you can do it with the historical unconditional predictions?

BR
Mikko