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tsai
2010 Feb 07
1
Out-of-sample prediction with VAR
Good day,
I'm using a VAR model to forecast sales with some extra variables (google
trends data). I have divided my dataset into a trainingset (weekly sales +
vars in 2006 and 2007) and a holdout set (2008).
It is unclear to me how I should predict the out-of-sample data, because
using the predict() function in the vars package seems to estimate my
google trends vars as well. However, I want