IRIS Toolbox Reference Manual

## forecast

Forecast FAVAR factors and observables

#### Syntax

    [D,CC,F,U,E] = forecast(A,D,RANGE,J,...)

#### Input arguments

- `A` [ FAVAR ] - FAVAR object.

- `D` [ struct | tseries ] - Input data with initial condition for the FAVAR factors.

- `RANGE` [ numeric ] - Forecast range.

- `J` [ struct | tseries] - Conditioning data with hard tunes on the FAVAR observables.

#### Output arguments

- `D` [ struct ] - Output database or tseries object with the FAVAR observables.

- `CC` [ struct | tseries ] - Projection of common components in the observables.

- `F` [ tseries ] - Projection of common factors.

- `U` [ tseries ] - Conditional idiosyncratic residuals.

- `E` [ tseries ] - Conditional structural residuals.

#### Options

See help on `FAVAR/filter` for options available.

#### Description

#### Example

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.