Ricardo Gonçalves Silva
2010-Feb-22 18:07 UTC
[R] Bootstrap Multivariate Times Series Forecast
Dear Users, Consider a multivariate time series model: a_1*y(t)-...-a_k*y(t-k)=b+[c_1*z(t)-...-c_j*z(t-j)] i.e., a simple multivariate time series model with one exogenous variable. I would like to know what package can I use to do the following, using R: 1) Select k and j jointly; 2) Estimate the model; 2) Forecast h=4 steps ahead the estimated model; 4) Bootstrap the forecast, since my sample is small. For univariate time series, I already used the BootBC package, but I don't know how to perform the analysis in the case here. Thanks in advance, Rick [[alternative HTML version deleted]]