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- Thu Sep 01, 2011 11:22 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Forecasting with VAR
- Replies: 2
- Views: 6261
Re: Forecasting with VAR
I believe that the montevar.src procedure can be used to generate confidence bands for the in-sample series of a fitted VAR-X model, but can this same procedure be used to generate confidence bands for the out-sample forecasted series? I'm not too experienced with multivariate time-series, so as a q...