Generates a new realization of a VAR model — NewVAReventRealization • RMAWGEN

Generates a new realization of a VAR model

NewVAReventRealization(var, xprev, noise, exogen = NULL, B = NULL)

Arguments

var: A VAR model represented by a varest object as returned by getVARmodel or VAR
xprev: previous status of the random variable
noise: uncorrelated or white noise (residual). Default is rnorm(length(xprev)) (or rnorm(ncol(B))
exogen: vector containing the values of the "exogen" variables (predictor) for the generation
B: matrix of coefficients for the vectorial white-noise component

Value

a vector of values

See also

forecastEV,forecastResidual

Author

Emanuele Cordano, Emanuele Eccel