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Noise added to unconditional forecast #86
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Hey Pawel, |
Hey @syrop87, |
Hello,
First, thanks a lot for developing the package! I am relying on it heavily in my daily work.
However, only recently I started to doubt if I understand the details of how the BVAR unconditional forecasts are generated. In
predict
method there is a line made to add noise to a forecast generated withcompute_fcast
method.fcast_store[["fcast"]][i, , ] <- fcast_base + t(crossprod(sigma[j, , ], matrix(rnorm(M * fcast[["horizon"]]), nrow = M)))
I have a two questions on that:
compute_fcast
in a period-by-period manner? I mean doing that within a core loop incompute_fcast
, so that Y_f[i+1,] is calculated based Y_f[i, ] that is consistent with added period i noise/shock. Adding all the shocks as a batch after the full path of base forecast was calculated seems inconsistent. The loop that I refer to:Thanks,
Pawel
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