[R] Predict VAR

[David Winsemius]

On May 25, 2010, at 4:14 PM, Luis Felipe Parra wrote:

> Hello, I am using the predict function for VAR in r obtaining the  
> following
> object for the predictions with the following command

Hard to tell what that means since you have not specified what package  
was used or the class of the object on which predict was applied.
>
> PronFac <- predict(VARFactores,n.ahead=1)
>
>> PronFactores$fcst

The problem is that you have here shown a different object than what  
you created with predict.

> $PC1
>             fcst      lower  upper       CI
> PC1.fcst 2.284497 -0.8033048 5.3723 3.087802
> $PC2
>              fcst     lower    upper       CI
> PC2.fcst -0.938333 -4.346927 2.470261 3.408594
> $PC3
>              fcst     lower    upper       CI
> PC3.fcst -1.035569 -4.282719 2.211582 3.247151
> $PC4
>               fcst     lower    upper       CI
> PC4.fcst -0.7063035 -4.027811 2.615204 3.321507
> $PC5
>              fcst     lower    upper       CI
> PC5.fcst 0.3664593 -1.689041 2.421959 2.055500
>
>
> I would like to take the fcst object from each of the list elements  
> and
> assign it to a vector, do you know how can I do this in an efficient  
> way
> without having to go trough all the list with a for?

Loops are just as efficient as the apply methods.

> At the moment I am
> doing it the following way for(i in
> 1:NumFac){PronFactores[i,]<-PronFac$fcst[[i]][1] } but I would like  
> to know
> if there is a commmand to acces to vectors of forecasts without the
> confidence intervals. Does anybody know how to do this?

Hard to tell for sure since you're only showing us output and not a  
reproducible version. The str function is more informative than  
printing to the console.


>
> Thank you
>
> Felipe Parra


David Winsemius, MD
West Hartford, CT