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statsmodels.tsa.vector_ar.var_model.VARResults.forecast

VARResults.forecast(y, steps)

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 : ndarray (steps x neqs)

Notes

Lutkepohl pp 37-38

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