Forecast the Simultaneous Equations Model (SEM)

This function produces forecasts for the SEM.

Usage

forecast(
  estimates,
  dates,
  ...,
  restrictions = NULL,
  options = list(approximate = FALSE, probs = NULL, fill = list(method = "mean"),
    conditional_innov_method = "projection")
)

Arguments

estimates

A koma_estimate object (estimate) containing the estimates for the simultaneous equations model, as well as a list of time series and a koma_seq object (system_of_equations) that were used in the estimation.

dates

Key-value list for date ranges in various model operations.

...

Additional parameters.

restrictions

List of model constraints. Default is empty.

options

Optional settings for forecasting. Use list(approximate = FALSE, probs = NULL, fill = list(method = "mean"), conditional_innov_method = "projection"). Elements:

approximate: Logical. If FALSE (default), compute point forecasts from predictive draws. If TRUE, compute point forecasts from the mean/median of coefficient draws (fast approximation).
probs: Numeric vector of quantile probabilities. If NULL, no quantiles are returned. When approximate = FALSE and probs is NULL, defaults to setdiff(get_quantiles(), 0.5).
fill$method: "mean" or "median" used for conditional fill before forecasting.
conditional_innov_method: Method for drawing conditional innovations. One of "projection" (default) or "eigen".

Value

An object of class koma_forecast.

An object of class koma_forecast is a list containing the following elements:

mean: Mean point forecasts as a list of time series of class koma_ts.
median: Median point forecasts as a list of time series of class koma_ts.
quantiles: A list of quantiles, where each element is named according to the quantile (e.g., "q_5", "q_50", "q_95"), and contains the forecasts for that quantile. This element is NULL if quantiles = FALSE.
ts_data: Time-series data set used in forecasting.
y_matrix: The Y matrix constructed from the balanced data up to the current quarter, used for forecasting.
x_matrix: The X matrix used for forecasting.

Details

The forecast function for SEM uses the estimates from the koma_estimate object to produce point forecasts and, optionally, quantile forecasts. When options$approximate is FALSE (default), point forecasts are computed from the predictive draws (with quantiles controlled by options$probs). When TRUE, point forecasts are computed from the mean and median of the coefficient draws for faster, approximate results.

The returned koma_forecast object keeps forecasts as named lists of koma_ts (for mean, median, and quantiles) alongside the input data and matrices used to produce them.

Use the print method to print a the forecast results, use the plot method, to visualize the forecasts and prediction intervals.

Parallel

This function provides the option for parallel computing through the future::plan() function. For a detailed example on executing estimate in parallel, see the vignette: vignette("parallel"). For more details, see the future package documentation.